Dear all,
I see a difference in the way predict works between Stata10 and 11. Consider the following example x1 testset y 1 1 12 2 1 13 3 1 14 4 2 . And the commands anova y x1 if testset==1 predict yhat The following is the result in version 11 x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . 12 While in version 10 the following dataset results x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . . I prefer the version 10 wayofworking, because it gives me the opportunity to identify observations that are in the testset (testset==2) and not in the trainingset (testset==1). Is it possible to obtain the same result in version 11 as in version 10, other than switching with the version command before and after predict? Thank you for your consideration, Marnix Zoutenbier ______________________ Drs. Marnix Zoutenbier MTD CIRM Senior Consultant T: +31 (0)40 750 23 25 F: +31 (0)40 750 16 99 E: [hidden email] CQM B.V. PO Box 414, 5600 AK Eindhoven, The Netherlands Vonderweg 16, 5616 RM Eindhoven, The Netherlands KvK 17076484 I: www.cqm.nl DISCLAIMER De informatie verzonden in dit email bericht is vertrouwelijk en uitsluitend bestemd voor de geadresseerde. Indien de informatie bij vergissing bij u terecht is gekomen dan verzoeken wij u vriendelijk de afzender hiervan op de hoogte te stellen en de informatie te verwijderen. Openbaarmaking, vermenigvuldiging, verspreiding en/of verstrekking van deze informatie aan derden zonder expliciete toestemming van de afzender is niet toegestaan. Aan de verstrekte informatie kunnen geen rechten worden ontleend, tenzij expliciet anders is aangegeven in het email bericht. Wij staan niet in voor de juiste en volledige overbrenging, noch voor de tijdige ontvangst van dit email bericht.<br> This message and its attachments are confidential and may be privileged or otherwise protected from disclosure. If you are not the intended recipient, please notify the sender by reply mail and delete this message and its attachments from your system and refrain from using or copying its contents or disclosing its contents in any manner to third parties. We cannot assume any responsibility for the accuracy or reliability of the information contained in these message (including attachments), nor shall the information be construed as constituting any obligation on the part of CQM DISCLAIMER * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
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On Wed, Dec 8, 2010 at 9:58 AM, Marnix Zoutenbier
<[hidden email]> wrote: > Dear all, > > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the opportunity > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? Yes, see the man predict page (http://www.stata.com/help.cgi?predict), items 6 and 7 in the Description section near the top... predict can be used to make insample or outofsample predictions: 6. predict calculates the requested statistic for all possible observations, whether they were used in fitting the model or not. predict does this for the standard options 1 through 3 and generally does this for estimatorspecific options 4. 7. predict newvar if e(sample), ... restricts the prediction to the estimation subsample. So in your above example under Stata 11 you should use... predict yhat if(e(sample)) Neil  "Our civilization would be pitifully immature without the intellectual revolution led by Darwin"  Motoo Kimura, The Neutral Theory of Molecular Evolution Email  [hidden email] Website  http://kimuranoip.org/ Photos  http://www.flickr.com/photos/slackline/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
Dear all,
Neil his reaction is correct. However, it shows that I did not formulate my problem accurate, because it is not the solution that works for me. Let me extend the example with one extra observation to make myself more clear x1 testset y 1 1 12 2 1 13 3 1 14 4 2 . 3 2 . So the last observation is defined by x1 in the same way as the third observation. The testset (testset==2) consists of 2 observations, from which the observation with x1=3 can be predicted based on the traininset (testset==1) but the observation with x1=4 can not be predicted because x1=4 is not in the trainingset. First in version 11 version 11 anova y x1 if testset==1 predict yhat Gives the following result in version 11 x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . 12 3 2 . 14 Now in version 10 version 10 anova y x1 if testset==1 predict yhat Gives the following result x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . . 3 2 . 14 This problem is not fixed with the 'e(sample)' suggestion, because I do want to predict in the testset (outside e(sample)), however, I only want predictions for values of x1 that are used in the trainingset (testset==1). Thank you for your consideration, Best regards, Marnix ______________________ Drs. Marnix Zoutenbier MTD CIRM Senior Consultant T: +31 (0)40 750 23 25 F: +31 (0)40 750 16 99 E: [hidden email] CQM B.V. PO Box 414, 5600 AK Eindhoven, The Netherlands Vonderweg 16, 5616 RM Eindhoven, The Netherlands KvK 17076484 I: www.cqm.nl From: Neil Shephard <[hidden email]> To: [hidden email] Date: 08122010 12:08 Subject: Re: st: Predict in version 11 Sent by: [hidden email] On Wed, Dec 8, 2010 at 9:58 AM, Marnix Zoutenbier <[hidden email]> wrote: > Dear all, > > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? Yes, see the man predict page (http://www.stata.com/help.cgi?predict), items 6 and 7 in the Description section near the top... predict can be used to make insample or outofsample predictions: 6. predict calculates the requested statistic for all possible observations, whether they were used in fitting the model or not. predict does this for the standard options 1 through 3 and generally does this for estimatorspecific options 4. 7. predict newvar if e(sample), ... restricts the prediction to the estimation subsample. So in your above example under Stata 11 you should use... predict yhat if(e(sample)) Neil  "Our civilization would be pitifully immature without the intellectual revolution led by Darwin"  Motoo Kimura, The Neutral Theory of Molecular Evolution Email  [hidden email] Website  http://kimuranoip.org/ Photos  http://www.flickr.com/photos/slackline/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
The solution appears to be just a twist away from that already given.
... if testset == 1 Otherwise put, predict allows if (and in), so just specify whatever restrictions you want. Nick [hidden email] Marnix Zoutenbier Neil his reaction is correct. However, it shows that I did not formulate my problem accurate, because it is not the solution that works for me. Let me extend the example with one extra observation to make myself more clear x1 testset y 1 1 12 2 1 13 3 1 14 4 2 . 3 2 . So the last observation is defined by x1 in the same way as the third observation. The testset (testset==2) consists of 2 observations, from which the observation with x1=3 can be predicted based on the traininset (testset==1) but the observation with x1=4 can not be predicted because x1=4 is not in the trainingset. First in version 11 version 11 anova y x1 if testset==1 predict yhat Gives the following result in version 11 x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . 12 3 2 . 14 Now in version 10 version 10 anova y x1 if testset==1 predict yhat Gives the following result x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . . 3 2 . 14 This problem is not fixed with the 'e(sample)' suggestion, because I do want to predict in the testset (outside e(sample)), however, I only want predictions for values of x1 that are used in the trainingset (testset==1). From: Neil Shephard <[hidden email]> On Wed, Dec 8, 2010 at 9:58 AM, Marnix Zoutenbier > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? Yes, see the man predict page (http://www.stata.com/help.cgi?predict), items 6 and 7 in the Description section near the top... predict can be used to make insample or outofsample predictions: 6. predict calculates the requested statistic for all possible observations, whether they were used in fitting the model or not. predict does this for the standard options 1 through 3 and generally does this for estimatorspecific options 4. 7. predict newvar if e(sample), ... restricts the prediction to the estimation subsample. So in your above example under Stata 11 you should use... predict yhat if(e(sample)) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
Dear Nick,
Thank you for your response. However, your solution is not what I mean. I want to predict forboth testset==1 and testset==2, but I want Stata to predict a missing value in the case that x1=4 in testset==2 because x1=4 does not appear in testset==1. However, in version 11 Stata also predicts in testset==2 for values of x1 that do not appear in testset==1 (trainingset). Stata uses the constant to predict, which I think, is very confusing in large datasets. In version 10, Stata predicts a missing value in those cases, which is, in my opinion, the proper way to proceed. Thank you in advance for your consideration, Best regards, Marnix ______________________ Drs. Marnix Zoutenbier MTD CIRM Senior Consultant T: +31 (0)40 750 23 25 F: +31 (0)40 750 16 99 E: [hidden email] CQM B.V. PO Box 414, 5600 AK Eindhoven, The Netherlands Vonderweg 16, 5616 RM Eindhoven, The Netherlands KvK 17076484 I: www.cqm.nl From: Nick Cox <[hidden email]> To: "'[hidden email]'" <[hidden email]> Date: 08122010 13:38 Subject: RE: st: Predict in version 11 Sent by: [hidden email] The solution appears to be just a twist away from that already given. ... if testset == 1 Otherwise put, predict allows if (and in), so just specify whatever restrictions you want. Nick [hidden email] Marnix Zoutenbier Neil his reaction is correct. However, it shows that I did not formulate my problem accurate, because it is not the solution that works for me. Let me extend the example with one extra observation to make myself more clear x1 testset y 1 1 12 2 1 13 3 1 14 4 2 . 3 2 . So the last observation is defined by x1 in the same way as the third observation. The testset (testset==2) consists of 2 observations, from which the observation with x1=3 can be predicted based on the traininset (testset==1) but the observation with x1=4 can not be predicted because x1=4 is not in the trainingset. First in version 11 version 11 anova y x1 if testset==1 predict yhat Gives the following result in version 11 x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . 12 3 2 . 14 Now in version 10 version 10 anova y x1 if testset==1 predict yhat Gives the following result x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . . 3 2 . 14 This problem is not fixed with the 'e(sample)' suggestion, because I do want to predict in the testset (outside e(sample)), however, I only want predictions for values of x1 that are used in the trainingset (testset==1). From: Neil Shephard <[hidden email]> On Wed, Dec 8, 2010 at 9:58 AM, Marnix Zoutenbier > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? Yes, see the man predict page (http://www.stata.com/help.cgi?predict), items 6 and 7 in the Description section near the top... predict can be used to make insample or outofsample predictions: 6. predict calculates the requested statistic for all possible observations, whether they were used in fitting the model or not. predict does this for the standard options 1 through 3 and generally does this for estimatorspecific options 4. 7. predict newvar if e(sample), ... restricts the prediction to the estimation subsample. So in your above example under Stata 11 you should use... predict yhat if(e(sample)) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
OK. Looking at your example again, I think I can see your point. Why does predict think it can go ahead when x1 == 4? The key point is that x1 is treated as categorical, so there's no information on that category in the data used to fit. The use of a baseline category instead, if that is what happening, may be a fair default, but statistically it seems arbitrary.
(I was tacitly thinking in regression terms and finding no difficulty in the idea of a prediction for values of the predictors that don't occur elsewhere. But this is ANOVA with a categorical predictor) Nick [hidden email] Marnix Zoutenbier Dear Nick, Thank you for your response. However, your solution is not what I mean. I want to predict forboth testset==1 and testset==2, but I want Stata to predict a missing value in the case that x1=4 in testset==2 because x1=4 does not appear in testset==1. However, in version 11 Stata also predicts in testset==2 for values of x1 that do not appear in testset==1 (trainingset). Stata uses the constant to predict, which I think, is very confusing in large datasets. In version 10, Stata predicts a missing value in those cases, which is, in my opinion, the proper way to proceed. From: Nick Cox <[hidden email]> The solution appears to be just a twist away from that already given. ... if testset == 1 Otherwise put, predict allows if (and in), so just specify whatever restrictions you want. Marnix Zoutenbier Neil his reaction is correct. However, it shows that I did not formulate my problem accurate, because it is not the solution that works for me. Let me extend the example with one extra observation to make myself more clear x1 testset y 1 1 12 2 1 13 3 1 14 4 2 . 3 2 . So the last observation is defined by x1 in the same way as the third observation. The testset (testset==2) consists of 2 observations, from which the observation with x1=3 can be predicted based on the traininset (testset==1) but the observation with x1=4 can not be predicted because x1=4 is not in the trainingset. First in version 11 version 11 anova y x1 if testset==1 predict yhat Gives the following result in version 11 x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . 12 3 2 . 14 Now in version 10 version 10 anova y x1 if testset==1 predict yhat Gives the following result x1 testset y yhat 1 1 12 12 2 1 13 13 3 1 14 14 4 2 . . 3 2 . 14 This problem is not fixed with the 'e(sample)' suggestion, because I do want to predict in the testset (outside e(sample)), however, I only want predictions for values of x1 that are used in the trainingset (testset==1). From: Neil Shephard <[hidden email]> On Wed, Dec 8, 2010 at 9:58 AM, Marnix Zoutenbier > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? Yes, see the man predict page (http://www.stata.com/help.cgi?predict), items 6 and 7 in the Description section near the top... predict can be used to make insample or outofsample predictions: 6. predict calculates the requested statistic for all possible observations, whether they were used in fitting the model or not. predict does this for the standard options 1 through 3 and generally does this for estimatorspecific options 4. 7. predict newvar if e(sample), ... restricts the prediction to the estimation subsample. So in your above example under Stata 11 you should use... predict yhat if(e(sample)) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
In reply to this post by Marnix Zoutenbier
Marnix Zoutenbier <[hidden email]> is using predict after anova
and noticed that Stata 11 will now produce a nonmissing value in outofsample observations where a factor variable takes on values not observed within the estimation sample: > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the opportunity > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? > > Thank you for your consideration, Short reply: Except under version control, as noted above by Marnix, there is no option of predict to get it to behave like it did in Stata 10. As with outofsample predictions involving continuous predictors, Stata 11 relies on the data analyst to judge which predictions are meaningful or even valid. Both Neil Shephard <[hidden email]> and Nick Cox <[hidden email]> point out that predict allows if and in restrictions, giving the data analyst the control to identify which observations to compute the predictions. Longer reply: Prior to Stata 11, anova and manova were the only estimation commands that possessed logic to handle categorical variables, but even they had some limitations we intended to address with the new factor variables notation. For example, controlling the base level and level restrictions were not allowed with anova and manova without generating modified copies of the factor variables. The new factor variables notation also replaced and expanded on the features of the xi prefix, which produced indicator variables for categorical variables and some twoway interactions. One of our goals for the new factor variables notation was to get all of Stata's official estimation commands to support categorical variables and their interactions consistently. Thus anova and manova were updated to possess the same features of their linear models counterparts, regress and mvreg. The new factor variables notation allows you to specify which levels to include in a model fit. Using Marnix's data, let's fit an ANOVA model where we only care about the effect of x1=1 compared to all the other levels. In Stata 11 we simply type ***** BEGIN: . anova y 1.x1 Number of obs = 3 Rsquared = 0.7500 Root MSE = .707107 Adj Rsquared = 0.5000 Source  Partial SS df MS F Prob > F + Model  1.5 1 1.5 3.00 0.3333  x1  1.5 1 1.5 3.00 0.3333  Residual  .5 1 .5 + Total  2 2 1 . mat li e(b) e(b)[1,2] 1. x1 _cons y1 1.5 13.5 ***** END: We see that anova used all observations where 'x1' and 'y' were not missing, fitting an intercept '_cons' and a coefficient on '1.x1'. '1.x1' is factor variables notation for an implied variable that indicates when 'x1' is equal to 1. Here are the linear predictions: ***** BEGIN: . predict yhat1 if e(sample) (option xb assumed; fitted values) (1 missing value generated) . list ++  x1 testset y yhat1   1.  1 1 12 12  2.  2 1 13 13.5  3.  3 1 14 13.5  4.  4 2 . .  ++ ***** END: Notice that predict treated levels 2 and 3 the same, so we get their average response back as the linear prediction. This is in accordance with a linear regression model with a single indicator variable that identifies when 'x1' is equal to 1. Here are the commands to reproduce the above using regress, but without factor variables notation: ***** BEGIN: . gen x1is1 = x1==1 . regress y x1is1 Source  SS df MS Number of obs = 3 + F( 1, 1) = 3.00 Model  1.5 1 1.5 Prob > F = 0.3333 Residual  .5 1 .5 Rsquared = 0.7500 + Adj Rsquared = 0.5000 Total  2 2 1 Root MSE = .70711  y  Coef. Std. Err. t P>t [95% Conf. Interval] + x1is1  1.5 .8660254 1.73 0.333 12.5039 9.503896 _cons  13.5 .5 27.00 0.024 7.146898 19.8531  . predict ryhat1 if e(sample) (option xb assumed; fitted values) (1 missing value generated) . list ++  x1 testset y yhat1 x1is1 ryhat1   1.  1 1 12 12 1 12  2.  2 1 13 13.5 0 13.5  3.  3 1 14 13.5 0 13.5  4.  4 2 . . 0 .  ++ ***** END: Since we did not use factor variables notation, we can reproduce the result in Stata 10 or Stata 11; we can even use anova instead of regress. Jeff Ken [hidden email] [hidden email] * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
Dear Jef, Nick, Neil,
** Short reply: Thank you very much for your help with respect to predict after anova when values of x in the testset are outside the domain of the trainingset. I understand the way Stata 11 works and why this is chosen to be different from stata 10. ** Some extra background for those who are interested In our project we were dealing with a testset of 500k observations and a testset of 50k observations from which the measurements were hidden to us. Our model consisted of many different categorical regressors with some of them 1020 categories and a model which also inclcuded 2,3, and 4factor interactions. We assumed, based on our experience with Stata 10, that combinations of the regressors in the testset that were not in the trainingset were predicted with a missing value. The feedback we obtained in terms of overall RMSE in the testset was much worse than we expected based on the trainingsetresults. The reason why is now clear to us: predict predicts the basevalue if the combinations of regressors is not estimated in the trainingset, without us realizing that, and that increased the RMSE in the testset considerably. I am very happy we found out what the reason is and being able to fix it. Thank you very much for your help in this process, Best regards, Marnix ______________________ Drs. Marnix Zoutenbier MTD CIRM Senior Consultant T: +31 (0)40 750 23 25 F: +31 (0)40 750 16 99 E: [hidden email] CQM B.V. PO Box 414, 5600 AK Eindhoven, The Netherlands Vonderweg 16, 5616 RM Eindhoven, The Netherlands KvK 17076484 I: www.cqm.nl From: [hidden email] (Jeff Pitblado, StataCorp LP) To: [hidden email] Date: 08122010 20:11 Subject: Re: st: Predict in version 11 Sent by: [hidden email] Marnix Zoutenbier <[hidden email]> is using predict after anova and noticed that Stata 11 will now produce a nonmissing value in outofsample observations where a factor variable takes on values not observed within the estimation sample: > I see a difference in the way predict works between Stata10 and 11. > > Consider the following example > x1 testset y > 1 1 12 > 2 1 13 > 3 1 14 > 4 2 . > > And the commands > anova y x1 if testset==1 > predict yhat > > The following is the result in version 11 > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . 12 > > While in version 10 the following dataset results > x1 testset y yhat > 1 1 12 12 > 2 1 13 13 > 3 1 14 14 > 4 2 . . > > I prefer the version 10 wayofworking, because it gives me the > to identify observations that are in the testset (testset==2) and not in > the trainingset (testset==1). > > Is it possible to obtain the same result in version 11 as in version 10, > other than switching with the version command before and after predict? > > Thank you for your consideration, Short reply: Except under version control, as noted above by Marnix, there is no option of predict to get it to behave like it did in Stata 10. As with outofsample predictions involving continuous predictors, Stata 11 relies on the data analyst to judge which predictions are meaningful or even valid. Both Neil Shephard <[hidden email]> and Nick Cox <[hidden email]> point out that predict allows if and in restrictions, giving the data analyst the control to identify which observations to compute the predictions. Longer reply: Prior to Stata 11, anova and manova were the only estimation commands that possessed logic to handle categorical variables, but even they had some limitations we intended to address with the new factor variables notation. For example, controlling the base level and level restrictions were not allowed with anova and manova without generating modified copies of the factor variables. The new factor variables notation also replaced and expanded on the features of the xi prefix, which produced indicator variables for categorical variables and some twoway interactions. One of our goals for the new factor variables notation was to get all of Stata's official estimation commands to support categorical variables and their interactions consistently. Thus anova and manova were updated to possess the same features of their linear models counterparts, regress and mvreg. The new factor variables notation allows you to specify which levels to include in a model fit. Using Marnix's data, let's fit an ANOVA model where we only care about the effect of x1=1 compared to all the other levels. In Stata 11 we simply type ***** BEGIN: . anova y 1.x1 Number of obs = 3 Rsquared = 0.7500 Root MSE = .707107 Adj Rsquared = 0.5000 Source  Partial SS df MS F Prob > F + Model  1.5 1 1.5 3.00 0.3333  x1  1.5 1 1.5 3.00 0.3333  Residual  .5 1 .5 + Total  2 2 1 . mat li e(b) e(b)[1,2] 1. x1 _cons y1 1.5 13.5 ***** END: We see that anova used all observations where 'x1' and 'y' were not missing, fitting an intercept '_cons' and a coefficient on '1.x1'. '1.x1' is factor variables notation for an implied variable that indicates when 'x1' is equal to 1. Here are the linear predictions: ***** BEGIN: . predict yhat1 if e(sample) (option xb assumed; fitted values) (1 missing value generated) . list ++  x1 testset y yhat1   1.  1 1 12 12  2.  2 1 13 13.5  3.  3 1 14 13.5  4.  4 2 . .  ++ ***** END: Notice that predict treated levels 2 and 3 the same, so we get their average response back as the linear prediction. This is in accordance with a linear regression model with a single indicator variable that identifies when 'x1' is equal to 1. Here are the commands to reproduce the above using regress, but without factor variables notation: ***** BEGIN: . gen x1is1 = x1==1 . regress y x1is1 Source  SS df MS Number of obs = 3 + F( 1, 1) = 3.00 Model  1.5 1 1.5 Prob > F = 0.3333 Residual  .5 1 .5 Rsquared = 0.7500 + Adj Rsquared = 0.5000 Total  2 2 1 Root MSE = .70711  y  Coef. Std. Err. t P>t [95% Conf. Interval] + x1is1  1.5 .8660254 1.73 0.333 12.5039 9.503896 _cons  13.5 .5 27.00 0.024 7.146898 19.8531  . predict ryhat1 if e(sample) (option xb assumed; fitted values) (1 missing value generated) . list ++  x1 testset y yhat1 x1is1 ryhat1   1.  1 1 12 12 1 12  2.  2 1 13 13.5 0 13.5  3.  3 1 14 13.5 0 13.5  4.  4 2 . . 0 .  ++ ***** END: Since we did not use factor variables notation, we can reproduce the result in Stata 10 or Stata 11; we can even use anova instead of regress. Jeff Ken [hidden email] [hidden email] * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ 
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