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Re: st: Re: rank regression
From
John Antonakis <[email protected]>
To
[email protected]
Subject
Re: st: Re: rank regression
Date
Mon, 24 Feb 2014 08:22:16 +0100
Funny....mistyped twice.....meant to say logistic and not "logisit". The
command is -ologit-
Best!
J.
__________________________________________
John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management
Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis
Associate Editor:
The Leadership Quarterly
Organizational Research Methods
__________________________________________
On 24.02.2014 08:05, John Antonakis wrote:
> If the dependent variable is a rank, where rank ordering does not
seem to be roughly equidistant, then they should have used an ordinal
probit or logisit estimator: -oprobit- or -ologisit-. If the independent
variables are in the same boat (non equidistant), I would model them as
dummies.
>
> Best,
> J.
>
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
>
> Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor:
> The Leadership Quarterly
> Organizational Research Methods
> __________________________________________
>
> On 24.02.2014 04:25, Joseph Coveney wrote:
>> Rochelle Zhang wrote:
>>
>> a finance paper I was reading today uses rank regression , the author
>> states that they replace both the dependent variable and independent
>> variables by their respective ranks and evaluation the regression
>> using the ordinary least squares.
>>
>> I searched "stata rank regression", and did not find anything. If you
>> have knowledge how to conduct such regression, please share.
>>
>>
--------------------------------------------------------------------------------
>>
>> From your description, it sounds like the authors of the finance
paper were just computing Spearman's correlation coefficient. See the
Spearman section of the do-file's output below.
>>
>> On the other hand, if there were two (or more) independent
variables, then they might have been doing what I call "Koch's
nonparametric ANCOVA". See the last section of the output below. You
can read about it at this URL:
https://circ.ahajournals.org/content/114/23/2528.full and the references
cited there. Scroll down until you come to the section that is titled,
"Extensions of the Rank Sum Test".
>>
>> Joseph Coveney
>>
>> . clear *
>>
>> . set more off
>>
>> . set seed `=date("2014-02-24", "YMD")'
>>
>> . quietly set obs 10
>>
>> . generate byte group = mod(_n, 2)
>>
>> . generate double a = rnormal()
>>
>> . generate double b = rnormal()
>>
>> .
>> . *
>> . * Spearman's rho
>> . *
>> . egen double ar = rank(a)
>>
>> . egen double br = rank(b)
>>
>> . regress ar c.br
>>
>> Source | SS df MS Number of obs = 10
>> -------------+------------------------------ F( 1, 8)
= 0.64
>> Model | 6.13636364 1 6.13636364 Prob > F = 0.4458
>> Residual | 76.3636364 8 9.54545455 R-squared = 0.0744
>> -------------+------------------------------ Adj R-squared
= -0.0413
>> Total | 82.5 9 9.16666667 Root MSE = 3.0896
>>
>>
------------------------------------------------------------------------------
>> ar | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
>>
-------------+----------------------------------------------------------------
>> br | .2727273 .3401507 0.80 0.446 -.5116616
1.057116
>> _cons | 4 2.110579 1.90 0.095 -.8670049
8.867005
>>
------------------------------------------------------------------------------
>>
>> . test br
>>
>> ( 1) br = 0
>>
>> F( 1, 8) = 0.64
>> Prob > F = 0.4458
>>
>> . // or
>> . spearman a b
>>
>> Number of obs = 10
>> Spearman's rho = 0.2727
>>
>> Test of Ho: a and b are independent
>> Prob > |t| = 0.4458
>>
>> .
>> . *
>> . * Koch's nonparametric ANCOVA
>> . *
>> . predict double residuals, residuals
>>
>> . ttest residuals, by(group)
>>
>> Two-sample t test with equal variances
>>
------------------------------------------------------------------------------
>> Group | Obs Mean Std. Err. Std. Dev. [95% Conf.
Interval]
>>
---------+--------------------------------------------------------------------
>> 0 | 5 1.018182 1.601497 3.581057 -3.428287
5.464651
>> 1 | 5 -1.018182 .8573455 1.917083 -3.398555
1.362191
>>
---------+--------------------------------------------------------------------
>> combined | 10 0 .9211324 2.912876 -2.083746
2.083746
>>
---------+--------------------------------------------------------------------
>> diff | 2.036364 1.816545 -2.152596 6.225323
>>
------------------------------------------------------------------------------
>> diff = mean(0) - mean(1) t
= 1.1210
>> Ho: diff = 0 degrees of freedom
= 8
>>
>> Ha: diff < 0 Ha: diff != 0 Ha:
diff > 0
>> Pr(T < t) = 0.8526 Pr(|T| > |t|) = 0.2948 Pr(T >
t) = 0.1474
>>
>> . // or
>> . pwcorr residuals group, sig
>>
>> | residu~s group
>> -------------+------------------
>> residuals | 1.0000
>> |
>> |
>> group | -0.3685 1.0000
>> | 0.2948
>> |
>>
>> .
>> . exit
>>
>> end of do-file
>>
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
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