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Re: AW: st: AW: confidence interval of a ratio of coefficients
From
Shehzad Ali <[email protected]>
To
[email protected]
Subject
Re: AW: st: AW: confidence interval of a ratio of coefficients
Date
Fri, 9 Apr 2010 14:41:24 +0000 (GMT)
Thank you, Steve, Martin and Arne. This is most helpful.
Is this correct that Arne's -wtp- module can be used for ratio of a set of any two coefficients, i.e. one of the coefficients doesn't necessarily have to be associated with cost?
Many thanks,
Shehzad
----- Original Message ----
> From: Martin Weiss <[email protected]>
> To: [email protected]
> Sent: Fri, 9 April, 2010 15:35:03
> Subject: AW: st: AW: confidence interval of a ratio of coefficients
>
>
<>
" The bootstrap command should have been:
bootstrap
> ratio = (-_b[price]/_b[weight]), rep(500): logit foreign
price weight
> rep78"
Where is the difference to your earlier
> command?
HTH
Martin
-----Ursprüngliche
> Nachricht-----
Von: > href="mailto:[email protected]";>[email protected]
[mailto:> ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]]
> Im Auftrag von Steve Samuels
Gesendet: Freitag, 9. April 2010 16:30
An: > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
Betreff:
> Re: st: AW: confidence interval of a ratio of coefficients
The bootstrap
> command should have been:
bootstrap ratio = (-_b[price]/_b[weight]),
> rep(500): logit foreign
price weight rep78
Steve
On Fri, Apr 9,
> 2010 at 10:07 AM, Steve Samuels <> href="mailto:[email protected]";>[email protected]> wrote:
>
> Thanks, Arne!
>
> Steve
> :
>
> ************************************
> sysuse auto, clear
> set seed
> 2940688
> logit foreign price weight rep78
>
> nlcom -
> _b[price]/_b[weight] //ratio
>
> logit foreign price weight
> rep78
> wtp price weight, delta
> wtp price weight,
> fieller
> wtp price weight, krinsky reps(2000)
>
> bootstrap
> ratio = (-_b[price]/_b[weight]), rep(500): logit foreign price
weight
> rep78
> estat bootstrap, bc
>
> *****************************
>
>
>
> On Fri, Apr 9,
> 2010 at 8:56 AM, Arne Risa Hole <> href="mailto:[email protected]";>[email protected]> wrote:
>>
> Steve, Martin and Shehzad,
>>
>> I've written the -wtp- module
> (available from SSC) with this
>> particular problem in mind. It
> calculates CIs for the ratio of two
>> coefficients using either the
> delta method, Fieller's method or the
>> parametric bootstrap. I've
> done some simulations to investigate which
>> method is more accurate,
> they are reported in the paper referenced in
>> the -wtp- help
> file.
>>
>> Arne
>>
>> On 9 April 2010
> 13:14, Steve Samuels <> href="mailto:[email protected]";>[email protected]>
> wrote:
>>> The following paper
>>> (> href="http://mrvar.fdv.uni-lj.si/pub/mz/mz1.1/cedilnik.pdf"; target=_blank
> >http://mrvar.fdv.uni-lj.si/pub/mz/mz1.1/cedilnik.pdf) shows that
> the
>>> distribution of the ratio of two jointly-Normal variables is
> far from
>>> simple. This suggests to me that a bootstrap may be
> the best approach
>>> to the CI that Shehzad originally asked
> for.
>>>
>>> Steve
>>>
>>> On
> Thu, Apr 8, 2010 at 5:29 PM, Steve Samuels <> ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]>
wrote:
>>>>
> Martin,
>>>>
>>>> I have to withdraw that code. It
> gives incorrect results if the ratio
>>>> is negative. So, your
> original -nlcom- statement is Shehzad's best
>>>> approach.
> Note, however that the confidence intervals for the ratio
>>>>
> and for 1/ratio are not compatible (perhaps "consonant" is the
> better
>>>> word). One set of limits cannot be derived by
> inverting the endpoints
>>>> of the other
> set.
>>>>
>>>>
> Steve
>>>>
>>>>
>>>>
> ********************
>>>> sysuse auto, clear
>>>>
> logit foreign rep78 price weight
>>>>
>>>> nlcom
> _b[price]/_b[weight] //ratio
>>>> nlcom _b[weight]/_b[price] //
> 1/ratio
>>>>
> ***********************
>>>>
>>>>
>>>>
>>>>
>>>>
> On Thu, Apr 8, 2010 at 3:52 PM, Martin Weiss <> ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]>
wrote:
>>>>>
>>>>>
> <>
>>>>>
>>>>>
> Steve,
>>>>>
>>>>> are you following your
> own script with this code, or is it necessary
for
>>>>>
> Shehzad to obtain a correct
> answer?
>>>>>
>>>>>
> HTH
>>>>>
> Martin
>>>>>
>>>>>
>>>>>
> -----Original Message-----
>>>>> From: > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>>>>
> [mailto:> href="mailto:[email protected]";>[email protected]]
> On Behalf Of Steve
Samuels
>>>>> Sent: Donnerstag, 8. April
> 2010 21:40
>>>>> To: > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>>>>
> Subject: Re: st: AW: confidence interval of a ratio of
> coefficients
>>>>>
>>>>> Here are some
> details. It's necessary to operate on the log of the
>>>>>
> absolute value of the ratio and attach the sign
> afterwards:
>>>>>
>>>>>
> *************
>>>>> sysuse auto, clear
>>>>>
> logit foreign rep78 price weight
>>>>> local sgn =
> sign(_b[price]/_b[weight])
>>>>>
>>>>> nlcom
> _b[price]/_b[weight] //ratio
>>>>> nlcom log(abs(
> _b[price]/_b[weight])) //log ratio
>>>>> return
> list
>>>>> local lratio = el(r(b),1,1)
>>>>>
> local ratio = `sgn'*exp(`lratio')
>>>>> local bound =
> invnormal(1-.05/2)*sqrt(el(r(V),1,1))
>>>>> local llim =
> exp(`lratio' -`bound')
>>>>> local ulim = exp(`lratio' +
> `bound')
>>>>> di "ratio = " `ratio' " llimit = " `llim' "
> ulimit = " `ulim'
>>>>>
> *************
>>>>>
>>>>>
>>>>>
> On Wed, Apr 7, 2010 at 1:21 PM, Steve Samuels <> ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]>
wrote:
>>>>>>
> Martin is right, but I think that this calculation is better done
> on
>>>>>> the log of the ratio and then converted back to
> the ratio scale.
In
>>>>>> that way, the CIs for x/y
> and y/x will be
> compatible.
>>>>>>
>>>>>>
> Steve
>>>>>>
>>>>>> On Wed, Apr 7,
> 2010 at 11:53 AM, Martin Weiss <> href="mailto:[email protected]";>[email protected]>
>>>>>
> wrote:
>>>>>>>
>>>>>>>
> <>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
> *************
>>>>>>> sysuse auto,
> clear
>>>>>>> logit foreign rep78 price
> weight
>>>>>>> nlcom (ratio:
> _b[price]/_b[weight])
>>>>>>>
> *************
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
> HTH
>>>>>>>
> Martin
>>>>>>>
>>>>>>>
>>>>>>>
> -----Ursprüngliche Nachricht-----
>>>>>>> Von: > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>>>>
> [mailto:> href="mailto:[email protected]";>[email protected]]
> Im Auftrag von Shehzad
Ali
>>>>>>> Gesendet:
> Mittwoch, 7. April 2010 17:50
>>>>>>> An: Stata
> List
>>>>>>> Betreff: st: confidence interval of a ratio
> of coefficients
>>>>>>>
>>>>>>>
> Dear listers,
>>>>>>>
>>>>>>> I
> am modelling choice behaviour using a logit model. I want
> to
calculate
>>>>> the marginal rates of subsititution of
> the attributes of choice
alternatives
>>>>> by taking the
> ratio of coefficients (similar to what people do when
>>>>>
> calculating willingness to pay estimates by taking
> attribute/cost
>>>>> coefficients). I need help with
> calculating the confidence interval
around
>>>>> the ratio
> of two
> coefficients.
>>>>>>>
>>>>>>>
> Any help would be appreciated.
>>>>>>>
> Shehzad
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
> *
>>>>>>> * For searches and help
> try:
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> >http://www.stata.com/help.cgi?search
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>>>>>>>
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>>>>>>>
>>>>>>>
>>>>>>>
> *
>>>>>>> * For searches and help
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>>>>>>>
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>>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>
> --
>>>>>> Steven Samuels
>>>>>> > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>>>>>
> 18 Cantine's Island
>>>>>> Saugerties NY
> 12477
>>>>>> USA
>>>>>> Voice:
> 845-246-0774
>>>>>> Fax:
> 206-202-4783
>>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
> --
>>>>> Steven Samuels
>>>>> > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>>>>
> 18 Cantine's Island
>>>>> Saugerties NY
> 12477
>>>>> USA
>>>>> Voice:
> 845-246-0774
>>>>> Fax:
> 206-202-4783
>>>>>
>>>>>
> *
>>>>> * For searches and help try:
>>>>>
> * > >http://www.stata.com/help.cgi?search
>>>>> * > href="http://www.stata.com/support/statalist/faq"; target=_blank
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>>>>>
>>>>>
>>>>>
> *
>>>>> * For searches and help try:
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>>>>>
>>>>
>>>>
>>>>
>>>>
> --
>>>> Steven Samuels
>>>> > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>>> 18
> Cantine's Island
>>>> Saugerties NY 12477
>>>>
> USA
>>>> Voice: 845-246-0774
>>>> Fax:
> 206-202-4783
>>>>
>>>
>>>
>>>
>>>
> --
>>> Steven Samuels
>>> > ymailto="mailto:[email protected]";
> href="mailto:[email protected]";>[email protected]
>>> 18
> Cantine's Island
>>> Saugerties NY 12477
>>>
> USA
>>> Voice: 845-246-0774
>>> Fax:
> 206-202-4783
>>>
>>> *
>>> * For searches
> and help try:
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>>>
>>
>>
> *
>> * For searches and help try:
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>
>
>
>
> --
> Steven Samuels
> > href="mailto:[email protected]";>[email protected]
> 18 Cantine's
> Island
> Saugerties NY 12477
> USA
> Voice:
> 845-246-0774
> Fax: 206-202-4783
>
--
Steven
> Samuels
> href="mailto:[email protected]";>[email protected]
18 Cantine's
> Island
Saugerties NY 12477
USA
Voice: 845-246-0774
Fax:
> 206-202-4783
*
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