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RE: st: RE: Dependent var is a proportion, with large spike in .95+
From |
"Verkuilen, Jay" <[email protected]> |
To |
<[email protected]> |
Subject |
RE: st: RE: Dependent var is a proportion, with large spike in .95+ |
Date |
Thu, 4 Sep 2008 17:46:02 -0400 |
Maarten buis wrote:
>Good point, a beta distribution can be skewed. To find out if your data
>is beta distributed you can use -hangroot-, -pbeta-, and/or -qbeta-,
>all downloadable from SSC. Type -findit hangroot-, -findit pbeta-,
>and/or -findit qbeta- to find them.
These are useful but remember that the regression model assumes that the
response variable is *conditionally* beta. The marginal distribution
without regressors can be markedly different from a beta as Y|X ~ Beta
!=> Y ~ Beta.
I am very interested in the point Nick raised about logit transforming
the response. This is implicit in the ML equations because the
sufficient statistics are log(y) and log(1-y) and it's easy to rewrite
things in terms of log(y/(1-y)). I need to look at the distribution of
the inverse logit-beta. I suspect it'll line up nicely with the
exponential-gamma distribution.
JV
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