Re: st: explanation of stdf

["Ariel Linden, DrPH" <ariel.linden@gmail.com>]

Introduction to Modern Econometrics Using Stata
Kit, thank you very much for this clarification! I assume that IMEUS =
Introduction to Modern Econometrics Using Stata?

Can you please provide me the page number for this quote so that I can
accurately cite it?

Thanks again

Ariel


Date: Thu, 8 Apr 2010 08:33:46 -0400
From: Kit Baum <baum@bc.edu>
Subject: Re: st: explanation of stdf

Kit wrote:

from IMEUS, chapter 4 section 6:

This alternate interval estimate may be computed with predict?s stdf
(standard error of forecast) option, which is applicable for a point
prediction for a single observation (see [R] regress postestimation). In
contrast to stdp, which calculates an interval around the expected value of
y for a given set of X values (in- or out-of-sample), stdf takes the
additional uncertainty associated with the prediction of a single y value
(i.e., \sigma^2_u) into account. A confidence interval formed with stdf may
be used to evaluate an out-of-sample data point, y0, and formally test
whether it could plausibly have been generated by the process generating the
estimated model. The null hypothesis for that test implies that it should
lie within the interval y?0 ± t stdf.


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