finding help. stata manuals you have all these as pdf! check the folder /stata12/docs
TRANSCRIPT
Finding help
Stata manuals
You have all these as pdf! Check the folder /Stata12/docs
ASSUMPTION CHECKING AND OTHER NUISANCES
• In regression analysis with Stata
• In logistic regression analysis with Stata
NOTE: THIS WILL BE EASIER IN Stata THAN IT WAS IN SPSS
Assumption checking in “normal” multiple regression
with Stata
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Assumptions in regression analysis
•No multi-collinearity•All relevant predictor variables included•Homoscedasticity: all residuals are from a distribution with the same variance•Linearity: the “true” model should be linear.•Independent errors: having information about the value of a residual should not give you information about the value of other residuals•Errors are distributed normally
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FIRST THE ONE THAT LEADS TO NOTHING NEW IN STATA (NOTE: SLIDE TAKEN LITERALLY FROM MMBR)
Independent errors: having information about the value of a residual should not give you information about the value of other residuals
Detect: ask yourself whether it is likely that knowledge about one residual would tell you something about the value of another residual.Typical cases: -repeated measures-clustered observations (people within firms / pupils within schools)
Consequences: as for heteroscedasticityUsually, your confidence intervals are estimated too small (think about why that is!).
Cure: use multi-level analyses part 2 of this course
The rest, in Stata:
Example: the Stata “auto.dta” data setsysuse auto
corr (correlation)vif (variance inflation
factors)
ovtest (omitted variable test)
hettest (heterogeneity test)
predict e, residswilk (test for normality)
Finding the commands
• “help regress”• “regress postestimation”
and you will find most of them (and more) there
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Multi-collinearity A strong correlation between two or more of your predictor variables
You don’t want it, because:1. It is more difficult to get higher R’s2. The importance of predictors can be difficult to
establish (b-hats tend to go to zero)3. The estimates for b-hats are unstable under slightly
different regression attempts (“bouncing beta’s”)
Detect: 4. Look at correlation matrix of predictor variables5. calculate VIF-factors while running regression
Cure:Delete variables so that multi-collinearity disappears, for instance by combining them into a single variable
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Stata: calculating the correlation matrix (“corr” or “pwcorr”) and VIF statistics (“vif”)
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Misspecification tests(replaces: all relevant predictor
variables included)
Also run “ovtest, rhs” here. Both tests should be non-significant.
Note that there are two ways to interpret “all relevant predictor variables included”
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Homoscedasticity: all residuals are from a distribution with the same variance
Consequences: Heteroscedasticiy does not necessarily lead to biases in your estimated coefficients (b-hat), but it does lead to biases in the estimate of the width of the confidence interval, and the estimation procedure itself is not efficient.
THIS CAN BE DONE
IN STATA TOO
(CHECK FOR YOURSELF)
Testing for heteroscedasticity in Stata
• Your residuals should have the same variance for all values of Y hettest
• Your residuals should have the same variance for all values of X hettest, rhs
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Errors distributed normally
Errors should be distributed normally (just the errors, not the variables themselves!)
Detect: look at the residual plots, test for normality, or save residuals and test directly
Consequences: rule of thumb: if n>600, no problem. Otherwise confidence intervals are wrong.
Cure: try to fit a better model (or use more difficult ways of modeling instead - ask an expert).
First calculate the errors (after regress):
predict e, resid
Then test for normalityswilk e
Errors distributed normally
Assumption checking in logistic regression
with Stata
Note: based onhttp://www.ats.ucla.edu/stat/stata/
webbooks/logistic/chapter3/statalog3.htm
Assumptions in logistic regression
• Y is 0/1• Independence of errors (as in
multiple regression)• No cases where you have
complete separation (Stata will try to remove these cases automatically)
• Linearity in the logit (comparable to “the true model should be linear” in multiple regression) – “specification error”
• No multi-collinearity (as in m.r.)
Think!
Think!• What will happen if you try logit y x1 x2 in this case?
This!
Because all cases with x==1 lead to y==1, the weight of x should be +infinity. Stata therefore rightly disregards these cases.
Do realize that, even though you do not see them in the regression, these are extremely important cases!
(checking for)multi-collinearity
• In regression, we had “vif”• Here we need to download a
command that a user-created: “collin” (try “findit collin” in Stata)
(checking for)specification error
• The equivalent for “ovtest” is the command “linktest”
(checking for)specification error – part 2
Further things to do:
• Check for useful transformations of variables, and interaction effects
• Check for outliers / influential cases:1) using a plot of stdres
(against n) and dbeta (against n)
2) using a plot of ldfbeta’s (against n)
3) using regress and diag (but don’t tell anyone that I suggested
this)
Checking for outliers
… check the file auto_outliers.do for this …
Try the taxi tipping data