Dear all,
After the use of -intreg- I want to predict the probabilities and the
conditional expected values. Although they are directly calculated
through the -pr(lb, ub)- and -e(lb, ub)- options, no standard errors are
given.
Below I have attached some code for their manual calculation and I would
be grateful if anyone could help with the calculation of standard
errors.
I am not sure if it is possible with -nlcom- or -predictnl- since the
calculation takes place in three separate lines due to the left and
right censored values.
Thanks a lot
Manos
**************** Example ********************
clear
webuse intregxmpl
intreg wage1 wage2 age age2 tenure
predict xb ,xb
predict ye if e(sample),e(wage1, wage2)
predict pr if e(sample),pr(wage1, wage2)
local l2 ((wage2-xb)/e(sigma))
local l1((wage1-xb)/e(sigma))
gen mpr=normal(`l2')-normal(`l1')
replace mpr=normal(`l2') if wage1==.
replace mpr=1-normal(`l1') if wage2==.
sum pr mpr
local nden (normalden(`l2')-normalden(`l1'))
local ncum (normal(`l2')-normal(`l1'))
gen mye = xb + e(sigma)*(`nden'/-`ncum')
replace mye = xb + e(sigma)*(normalden(`l2')/-normal(`l2')) if wage1==.
replace mye = xb + e(sigma)*((-normalden(`l1'))/-(1 - normal`l1')) if
wage2==.
sum ye mye
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