ESETRAN: Stata module to transform estimates and standard errors in parmest resultssets

Roger Newson

Statistical Software Components from Boston College Department of Economics

Abstract: esetran is designed for use in parmest resultssets, which have one observation per estimated parameter and data on parameter estimates. It inputs 2 user-specified variables, containing the estimates and the standard errors, and replaces them with the estimates and standard errors of the same parameters after a user-specified transformation, promoting their storage types to double precision if necessary. Parameter values at the boundaries of the parameter range (such as the logit of 1 or 0 or the hyperbolic arctangent of 1 or -1) are set to sensible non-missing boundary values. The user can then use the parmcip option of the parmest package to recalculate the t- and z-statistics, symmetric confidence limits and P-values for the transformed parameters, and use endpoint transformations on the estimates and confidence limits to produce asymmetric confidence intervals for back-transformed parameters. This practice is especially useful if the user has produced symmetric confidence intervals for scenario proportions and their differences, using margins after a logistic regression, and needs to replace them with asymmetric confidence intervals, which are more likely to have the correct coverage probability.

Language: Stata
Requires: Stata version 10
Keywords: parmest; resultssets (search for similar items in EconPapers)
Date: 2015-04-19, Revised 2018-08-01
Note: This module should be installed from within Stata by typing "ssc install esetran". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/e/esetran.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/esetran.sthlp help file (text/plain)

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