Hi Martin,
Thank you for your response. I assume you are referring to the manuals where
you see the formulas for the STDP, STDF, and STDR? I am traveling and don't
have access to them, so I am looking to the help files loaded with Stata
(v10.1).
Given that I am trying to interpolate to values within the range (but not
necessarily available in the dataset), it appears that I will either need to
manually calculate the STDP (or STDF), or take the STDF from a value close
to that which I want to build a CI around?
I cannot interpret the MATA code below to know how to calculate this
manually. Could you please provide an example (perhaps with the auto data
using price = Y and weight = X)?
Thank you again for your guidance.
Ariel
Date: Wed, 16 Sep 2009 00:00:01 +0200
From: "Martin Weiss" <[email protected]>
Subject: st: AW: calculating stdp for interpolation/extrapolation
<>
If you ever wanted to recalculate the three standard errors returned by
- -predict-, you could employ -mata- to see they are correct...
*************
sysuse auto, clear
reg we pr disp
gen cons=1
predict stdp, stdp
predict stdf, stdf
predict stdr, stdr
tomata cons pr di
mata
X=(cons, price , displacement)
h=diagonal(X*invsym(X'*X)*X')
stdp=st_numscalar("e(rmse)")*sqrt(h)
stdf=st_numscalar("e(rmse)")*sqrt((1:+h))
stdr=st_numscalar("e(rmse)")*sqrt((1:-h))
//last 10 rows
(stdp, stdr, stdf)[(rows(stdf)-9..rows(stdf)),.]
end
l stdp stdr stdf /*
*/ in -10/l, noo sep(0)
*************
HTH
Martin
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