REGCONFIDENCE Procedure

@REGCONFIDENCE is a regression post-processor to show a table of confidence intervals for coefficients. This applies to the LINREG instruction which has just been estimated.

@RegConfidence( options ) (no parameters)

Options

CONFIDENCE=confidence level[.95]

STDERRS=number of standard errors [not used]

If you use STDERRS (for instance, STDERRS=2), you will get that specific multiple of standard errors +/- for the bounds. Otherwise, the value of the CONFIDENCE option will be used with the current degrees of freedom to determine the multiple.

TITLE="title of report" ["Confidence Intervals"]

Example

* Hill, Griffiths, & Lim, Principles of Econometrics, 3rd edition

* Example starting on page 52

open data food.dat

data(format=free,org=columns) 1 40 food income

linreg food

# constant income

@regconfidence(confidence=.95)

Sample Output

This show the LINREG option, then the @REGCONFIDENCE output. This shows the coefficient and lower and upper bounds for the 95% confidence interval using a t with 38 degrees of freedom.

Linear Regression - Estimation by Least Squares

Dependent Variable FOOD

Usable Observations 40

Degrees of Freedom 38

Centered R^2 0.3850022

R-Bar^2 0.3688181

Uncentered R^2 0.9179605

Mean of Dependent Variable 283.57350000

Std Error of Dependent Variable 112.67518102

Standard Error of Estimate 89.51700453

Sum of Squared Residuals 304505.17583

Regression F(1,38) 23.7888

Significance Level of F 0.0000195

Log Likelihood -235.5088

Durbin-Watson Statistic 1.8939

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 83.416002021 43.410163135 1.92158 0.06218242

2. INCOME 10.209642968 2.093263531 4.87738 0.00001946

Label Coefficient Lower Upper

Constant 83.4160 -4.4633 171.2953

INCOME 10.2096 5.9721 14.4472