RE: st: Duan smearing for retransformation

["Bontempo, Daniel E" <deb193@ku.edu>]

I am not sure exactly what is meant by "not needing" - does this just
apply to predictions? The coefficients do not seem to be in the
non-logged metric.

If I use gllamm to run the same model I used in xtmixed, except specify
a log link function, it is not clear to me what scale the estimated
model parameters are on, or if I can transform them back to original
metric.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Partha Deb
Sent: Monday, May 17, 2010 8:22 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Duan smearing for retransformation

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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