Re: st: Re: Returning a p-value for simulation

["Martin Weiss" <martin.weiss1@gmx.de>]

Here is an example of what I suspect you want. The variation in 
the -probit-s comes from a (somewhat pointless) -if- qualifier, but I am 
sure you will tweak it to your needs. The output is 100 p-values for the 
covariate "trunk"

***

//drop it beforehand
capt prog drop sim

//define the program
program define sim // , rclass
   version 10.1
 sysuse auto, clear
 prob for rep tu tr if runiform()<0.7
end

//simulate it!
//get the p-value for "trunk" in this case, but you can
//add more covariates to this
simulate (2*normal(-abs(_b[trunk]/_se[trunk]))) ///
, reps(100): sim //, obs(100)

su,d
***

HTH
Martin
_______________
----- Original Message ----- 
From: "John Antonakis" <john.antonakis@unil.ch>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, May 10, 2009 10:26 AM
Subject: Re: st: Re: Returning a p-value for simulation


> Hi Martin:
>
> Thanks; parmtest works nice.
>
> Once done, I added the following:
>
> simulate _b _se, reps(20) seed (123) : sim,
> [I have a program, "sim" running before, where I manipulate certain 
> parameters]
>
> How do I get it to simulate the p-value?
>
> Best,
> J.
>
> ____________________________________________________
>
> Prof. John Antonakis
> Associate Dean Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
>
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
>
> Faculty page:
> http://www.hec.unil.ch/people/jantonakis&cl=en
>
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
>
>
>
> On 10.05.2009 09:38, Martin Weiss wrote:
> > The easiest option for John to achieve his goal is to install -ssc inst 
> > parmest- by Roger Newson and then:
> >
> > ******************
> > sysuse auto, clear
> > prob for price weight trunk
> > parmest,saving(myfile, replace)
> > u myfile, clear
> > l
> > ******************
> >
> > If he wants to dig deeper into the calculation of the results, he can 
> > replicate them in -mata-:
> >
> > ******************
> > sysuse auto, clear
> > prob for price weight trunk
> > //for z-statistic reporting commands
> > mata
> > // suck stuff into mata
> > b = st_matrix("e(b)")'
> > V = st_matrix("e(V)")
> > //standard errors from varcov
> > se = diagonal(cholesky(diag(V)))
> >   z = b :/ se
> > //show z
> > z
> > //p-values
> >  2*normal(-abs(z))
> > // CIs
> >   b :- invnormal(0.975):*se, b :+ invnormal(0.975):*se
> > end
> > *********************
> >
> >
> > HTH
> > Martin
> > _______________
> >
> >
> >
> > ----- Original Message ----- From: "John Antonakis" 
> > <john.antonakis@unil.ch>
> > To: <statalist@hsphsun2.harvard.edu>
> > Sent: Sunday, May 10, 2009 12:19 AM
> > Subject: st: Returning a p-value for simulation
> >
> >
> > > I am running an rclass program that I wish to simulate.
> > >
> > > After estimating a probit, I want to save the coefficients, along with 
> > > the t-stats and the p-values for later simulation.  I figured out the 
> > > former but not the latter two. What I have so far is:
> > >
> > > probit y x1 x2
> > > return scalar b1 =_b[x1]
> > > return scalar b2 =_b[x2]
> > >
> > > Thanks,
> > > John.
> > >
> > > --
> > > ____________________________________________________
> > >
> > > Prof. John Antonakis
> > > Associate Dean Faculty of Business and Economics
> > > University of Lausanne
> > > Internef #618
> > > CH-1015 Lausanne-Dorigny
> > > Switzerland
> > >
> > > Tel ++41 (0)21 692-3438
> > > Fax ++41 (0)21 692-3305
> > >
> > > Faculty page:
> > > http://www.hec.unil.ch/people/jantonakis&cl=en
> > >
> > > Personal page:
> > > http://www.hec.unil.ch/jantonakis
> > > ____________________________________________________
> > >
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