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RE: st: nl hockey estimation
From
"Feiveson, Alan H. (JSC-SK311)" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: nl hockey estimation
Date
Fri, 10 Aug 2012 11:11:36 -0500
Just curious - Am I the only one who got drawn into this thread because I thought it had do with modeling NHL hockey statistics? No such luck.
Al Feiveson
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Nick Cox
Sent: Friday, August 10, 2012 9:49 AM
To: [email protected]
Subject: Re: st: nl hockey estimation
No; on this occasion I meant what I wrote. What you suggest shows
another discontinuity.
Nick
On Fri, Aug 10, 2012 at 3:42 PM, Steve Samuels <[email protected]> wrote:
>
> Nick, I think you meant:
>
> gen y2 = cond(x <50, y, 100 - y)
>
> Steve
> [email protected]
>
> On Aug 9, 2012, at 9:09 PM, Nick Cox wrote:
>
> The word "clearly" here is questionable. Your test data show a big
> discontinuity; they aren't a segmented line which is what the model is
> looking for. The least squares criterion is being used and -nl- does
> the best it can to minimise the sum of _squared_ errors. The built-in
> aversion to very large errors is what is biting here.
>
> If you work instead with
>
> gen y2 = cond(x < 50, y, y - 100)
> nl hockey y2 x
>
> you will get what you expect.
>
> On this evidence the program is fine, but your test example won't work
> as you expect under LS. At a wild guess, L1-norm might give something
> nearer splitting the difference.
>
> Nick
>
> On Fri, Aug 10, 2012 at 12:34 AM, Jordan Silberman
> <[email protected]> wrote:
>
>> I'm attempting to identify a breakpoint in a regression using the -nl
>> hockey- command (described here:
>> http://personalpages.manchester.ac.uk/staff/mark.lunt/nlhockey.hlp).
>>
>> When I test this command using simple simulated data, I find that the
>> command doesn't identify the correct breakpoint. Here's an example:
>>
>> set obs 100
>> gen x = _n
>> gen y = x if x < 50
>> replace y = x*3 if x > 49
>> nl hockey y x
>>
>> The breakpoint should clearly be at 50; however, command output
>> identifies the breakpoint at 32.7.
>>
>> So, 2 questions:
>>
>> 1. Why might the -nl hockey- command be computing the wrong breakpoint?
>>
>> 2. Can anyone recommend an alternate approach to identifying the
>> breakpoint in a 2-piece regression? Best would be something that's
>> been implemented in Stata in a straightforward way.
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