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102 lines
2.5 KiB
Plaintext
102 lines
2.5 KiB
Plaintext
9 months ago
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*! version 1.21 March 23, 2007 @ 17:05:47
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*! Roger Harbord
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/*
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code based on example in _pred_se.hlp
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v1.21 fixed stdxbu
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*/
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program define metareg_p
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version 7
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local myopts "STDF U USTAndard XBU STDXBU Hat"
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_pred_se "`myopts'" `0' /* handles xp and stdp */
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if `s(done)' {
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exit
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}
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local typ `s(typ)'
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local varn `s(varn)'
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local 0 `"`s(rest)'"'
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syntax [if] [in] [, `myopts' noOFFset]
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/* concatenate switch options together */
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local type "`stdf'`u'`ustandard'`xbu'`stdxbu'`hat'"
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/* quickly process default case */
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if "`type'"=="" {
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di as txt "(option xb assumed; fitted values)"
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_predict `typ' `varn' `if' `in', xb `offset'
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exit
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}
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/* mark sample */
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marksample touse
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if "`type'"=="u" | "`type'"=="xbu" | "`type'" == "ustandard" {
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tempvar xb
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qui _predict double `xb' if `touse', xb `offset'
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}
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if "`type'" == "stdf" | "`type'" == "stdxbu" | "`type'" == "ustandard" /*
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*/ | "`type'" == "hat" {
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tempvar stdp
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qui _predict double `stdp' if `touse', stdp `offset'
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}
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if "`type'" == "u" | "`type'" == "xbu" | "`type'" == "stdxbu" /*
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*/ | "`type'" =="ustandard" | "`type'" =="hat" {
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tempvar wsvar
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if "`e(wsvar)'" !="" {
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qui gen `wsvar' = `e(wsvar)' if `touse'
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}
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else {
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qui gen `wsvar' = `e(wsse)'^2 if `touse'
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}
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}
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if "`type'" == "u" | "`type'" == "xbu" | "`type'" == "stdxbu" {
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tempvar B /* Bayes shrinkage factor */
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qui gen double `B' = e(tau2) / ( e(tau2) + `wsvar' ) if `touse'
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}
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if "`type'" == "u" {
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gen `typ' `varn' = `B' * ( `e(depvar)' - `xb' ) if `touse'
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label var `varn' "Predicted random effects"
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exit
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}
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if "`type'" == "xbu" {
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gen `typ' `varn' = `B' * `e(depvar)' + (1-`B') * `xb' if `touse'
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label var `varn' "Prediction including random effects"
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exit
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}
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if "`type'" == "stdf" {
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gen `typ' `varn' = sqrt( `stdp'^2 + e(tau2) ) if `touse'
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label var `varn' "S.E. of the forecast"
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exit
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}
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if "`type'" == "stdxbu" {
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gen `typ' `varn' = sqrt( `B'^2 * ( `wsvar' + e(tau2) ) ///
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+ (1-`B'^2) * `stdp'^2 ) if `touse'
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label var `varn' "S.E. of prediction incl. random effects"
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exit
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}
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if "`type'" == "ustandard" {
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gen `typ' `varn' = ( `e(depvar)' - `xb' ) / /*
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*/ sqrt( `wsvar' + e(tau2) - `stdp'^2 ) if `touse'
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label var `varn' "Standardized predicted random effects"
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exit
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}
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if "`type'" == "hat" {
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gen `typ' `varn' = `stdp'^2 / ( `wsvar' + e(tau2) ) if `touse'
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label var `varn' "Leverage"
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exit
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}
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error 198
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end
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