Re: [clarify] Predicted Probabilities Question (Clarify)

Dear Raifu, I am enclosing some code that shows how Clarify can be used to generate out-of-sample predictions. The example involves linear regression, but you could modify the code to obtain out-of-sample quantities of interest for any model that Clarify supports. The first half of the code below creates some datasets. After that, there are four key steps: (1) run estsimp, (2) drop the dependent and independent variables, but keep the simulated parameter values; (3) merge-in the new dataset; (4) run setx and simqi as you would normally run them in Clarify. Hope this is helpful. Thanks for your interest in Clarify. Michael Tomz Stanford Univ. ------------------ sample code ----------------- version 9 tempfile ds1 ds2 * create first dataset, to be used * to estimate parameter values clear set obs 1000 gen x = uniform() gen y = 1 + 2*x + invnorm(uniform()) save `ds1' * create second dataset, to be used * for out-of-sample analysis clear set obs 1000 gen x = uniform() gen y = 1 + 2*x + invnorm(uniform()) save `ds2' * load and analyze first dataset use `ds1', clear estsimp regress y x * drop variables from first dataset, * load variables from second dataset drop y x merge using `ds2' * get expected values, conditional on * parameter estimates from the first * dataset and x's from the second dataset setx mean simqi Durodoye, Raifu wrote on 4/29/2009 2:37 PM: -- Clarify mailing list served by Harvard-MIT Data Center [Un]Subscribe/View Archive: http://lists.gking.harvard.edu/?info=clarify