Prediction after Boxcox model in Stata

I am trying to map the prediction parameter after boxcox

in Stata 13 to my code using the steps outlined in the Stata manual (page 5).

Below is the sample code I used:

sysuse auto,clear
local indepvar weight foreign length  
qui boxcox price `indepvar' ,model(lhsonly)lrtest
qui predict yhat1 
qui predict resid1, residuals


//yhat2 and resid2 computed using the procedure described in Stata manual
set more off
set type double
mat coef=e(b)
local nosvar=colsof(coef)-2

qui gen constant=1
local varname weight foreign length  constant
local coefname weight foreign length  _cons

//step 1: compute residuals first
forvalues k = 1/`nosvar'{
local varname1 : word `k' of `varname'
local coefname1 : word `k' of `coefname'
qui gen xb`varname1'=`varname1'*_b[`coefname1']
}
qui egen xb=rowtotal(xb*)
qui gen resid=(price^(_b[theta:_cons]))-xb

//step 2: compute predicted value

qui gen yhat2=.
local noobs=_N
local theta=_b[theta:_cons]
forvalues j=1/`noobs'{
qui gen temp`j'=.
forvalues i=1/`noobs'{
qui replace temp`j'=((`theta'*(xb[`j']+resid[`i']))+1)^(1/`theta') if _n==`i'
}
qui sum temp`j'
local tempmean`j'=r(mean)
qui replace yhat2=`tempmean`j'' if _n==`j'
drop temp`j' 
}
drop resid
qui gen double resid2=price-yhat2



 sum yhat* resid*

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
       yhat1 |        74    6254.224    2705.175   3428.361   21982.45
       yhat2 |        74    1.000035    8.13e-06   1.000015   1.000054
      resid1 |        74   -88.96723    2094.162  -10485.45   6980.013
      resid2 |        74    6164.257    2949.496       3290      15905

      

Note: yhat1 and remainder 1 are based on Stata predict

whereas yhat2 and remainder 2 are based on my sample code. The comparison is necessary to ensure that the marginal effect that I have calculated is correct ( margins

does not calculate the marginal effect after boxcox

).

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1 answer


Your definition of the first remainder is incorrect because you missed the definition of y ^ (\ lambda) on page 3 of the Manual. See also section Manual entry methods and formulas for boxcox .

Translated to your problem, in line

 qui gen resid=(price^(_b[theta:_cons]))-xb

      

term



 price^(_b[theta:_cons])

      

it should be:

 (price^(_b[theta:_cons])-1)/_b[theta:_cons]

      

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