Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]

[Clara Mukuria <C.Mukuria@sheffield.ac.uk>]

Thanks Marteen. Its not the SE of the estimate I am after. Rather, its 
how to adjust the linear predictions from Tobit/truncreg to the expexted 
values conditional on either censoring (for Tobit) or truncation (for 
Truncreg). STATA does this automatically for you but I need to work out 
how to do it manually as the out of sample estimation  will not be done 
in STATA - nor will those doing these estimations have access to the 
original dataset.

Thanks,
Clara

Maarten Buis said the following on 12/10/2012 08:11:
> On Thu, Oct 11, 2012 at 8:34 PM, Clara Mukuria wrote:
> > Hi,
> >
> > I am trying to work out how to calculate the scale factor used to adjust
> > results after a tobit and/or a truncreg regression.
>
> I assume you mean what in "normal" linear regression would be the
> standard deviation of the residual/root mean squared error/standard
> error of the estimate. This parameter is returned in the vector of
> parameters e(b). One way you can access it is through
> [sigma]_b[_cons], for example -display [sigma]_b[_cons]-.
>
> > I know there are several post estimation options, I am using the 'predict y,
> > ystar(ll, ul)' option to assess how well the the model predicts. However,
> > the aim is to provide generate a mapping function that can be used in other
> > datasets to predict the single generic measure so I need to work out the
> > scale factor.
>
> You can just estimate your model in one dataset, open another dataset
> and than use -predict-. You need to make sure that the
> independent/explanatory/right-hand-side/x variables in both datasets
> have the same name (how else would Stata know which parameter to apply
> to which variable?), but otherwise there are no restrictions.
>
> Hope this helps,
> Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
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--
Clara Mukuria PhD
ScHARR
University of Sheffield
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