Re: st: Duan smearing for retransformation

[Partha Deb <partha.deb@hunter.cuny.edu>]

One of the advantages of using GLM with a log link vis-a-vis taking logs 
of y is that you do not need a retransformation.  Retransformation with 
Duan (or any other) smearing works only under stated assumptions which 
may or may not be met.  Duan smearing with heteroskedastic errors, as is 
implied by multilevel models, is far from straightforward although I 
imagine it could be done.  You are much better off with a generalized model.

HTH

Partha


Bontempo, Daniel E wrote:
> Hi -
>
> I am looking at LEVPREDICT and thinking about using the mean of
> log-residuals (Duan smearning) to eliminate bias in back-transformation
> of predictions after regression with log-transformed DV.
>
> My 1st question is whether this correction would be needed to properly
> back-transform coefficients after a generalized model with link function
> log?
>
> My 2nd question is would this be possible to apply after random
> intercept model in xtmixed. If it is possible, would the smearing use
> the level-1 residual variance, the level-2 variance, or both? I am
> assuming ln_sd of the random components would need to be obtained.
>
> So does this correction seem possible after two-level ri model?
>
> Thanks
>
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--
Partha Deb
Professor of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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