[Limdep Nlogit List] Plotting Confidence Intervals

Mikołaj Czajkowski miq at wne.uw.edu.pl
Tue Sep 16 22:02:01 EST 2008


Dear All,

I am running a Box-Cox model to estimate elasticities of WTP which would 
vary with income. I can plot the elasticities, but I would also get the 
confidence intervals (e.g. using K&R method) plotted.


The model looks like this:

(WTP)@THETA = b2*1 + b1*(HINCOME)@LAMBDA

where:
@ is a Box-Cox transformation
LAMBDA and THETA are ML estimates for transformation parameters
WTP and HINCOME is self explanatory

After estimating the model I am able to plot the changes in elasticity 
as a function of HINCOME by either:

create; elast=b(1)*hincome^(lambda)*((b(2)+b(1)*hincome)@lambda)^(-lambda)$
plot; lhs=hincome; rhs=elast; fill$

(which uses sample-based HINCOME)

or by:

calc	; bet1=b(1)
	; bet2=b(2)$
sample; 1$
fplot; FCN=bet1*hi^(lambda)/(theta*(bet2+bet1*hi at lambda)+1); labels=hi; 
start=500; plot (hi); pts=1000; limits=100,5000$

(which simulates any hincome between the given limits).

This works ok.

However, is there a nice way to plot confidence intervals of the 
elasticities? The only thing that comes to my mind is writing a 
procedure that would use K&R technique to find 0.05 and 0.95 percentile 
of the elasticity distribution for each of the points from the income 
range. This is possible, but it is probably the long way...

I would be grateful for any ideas on how to possibly make it easier.

Thank you in advance,


-- 
     Mikołaj Czajkowski

     Warsaw Ecological Economics Center
     Warsaw University
     http://www.woee.pl/



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