Inverse Probit Regression

[Robert Debaig]

I have a dataset of daily observations with a binomial outcome, which is dependent on several variables. I have run a probit model using the command:

probit outcome variable1 variable2 variable3

. I have then used

predict pr, pr

and

predict xb, xb

which has returned pr and xb values in-sample. The out-of-sample dates follow directly on from the end of the initial sample on which I have run the Probit regression. What is the appropriate command(s) to predict pr and xb for the out-of-sample observations based on their combination of variables 1, 2 and 3?

[Clyde Schechter]

The -predict- command does both in-sample and out-of-sample predictions of pr and xb. I gather these out-of-sample observations come from a different data set. So just -use- that other data set and run -predict- again. The estimates from the -probit- regression (which is what -probit- relies on) remain active when you -use- a new data set. They only go away if you explicitly drop or clear them, run a new regression, or exit Stata.

[Nick Cox]

Cross-posted at https://www.reddit.com/r/stata/comme..._probit_model/ Please note that both r/stata and ourselves ask that you be explicit about cross-postings.