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st: Fit GB2, Singh-Maddala, Dagum, Lognormal distributions by ML
From |
"Stephen P. Jenkins" <[email protected]> |
To |
[email protected] |
Subject |
st: Fit GB2, Singh-Maddala, Dagum, Lognormal distributions by ML |
Date |
Sun, 18 Mar 2007 23:06:05 -0000 (GMT) |
Some additional programs for fitting distributions by maximum likelihood are now
available to download from SSC (with thanks, as ever, to Kit Baum).
The distributions that can be fitted are:
Generalized Beta of the Second Kind (4 parameter): module -gb2fit-
Dagum (3 parameter): module -dagumfit-
Singh-Maddala (3 parameter): module -smfit-
Lognormal (2 parameter): module -lognfit-
All programs have a similar look and feel, and have associated prediction programs.
In each case, the parameters can be modelled as linear functions of covariates.(NB
-smfit- and -dagumfit- are updates to programs first placed on SSC in 1997.)
I have not had time to prepare a full write-up of the programs since they were
originally written in 2004, as originally intended, and so am releasing them now '
as is'. Potential users may find the following useful as an introductory guide:
Jenkins, S.P. (2004). Fitting functional forms to distributions, using -ml-.
Presentation at Second German Stata Users Group Meeting, Berlin.
http://www.stata.com/meeting/2german/Jenkins.pdf
Please note that Nick Cox has written programs for assessing goodness of fit
graphically, for each of the program modules cited above, and he will be placing
the modules on SSC shortly.
Thanks to Nick Cox for writing these programs, and for chivvying me along on my
work, as well as providing useful comments and suggestions. Brian Bucks also
provided useful comments and suggestions. Time permitting, the programs will be
developed further.
-------------------------------------------------
TITLE
'GB2FIT': module to fit Generalized Beta of the Second Kind distribution by
maximum likelih
> ood
DESCRIPTION/AUTHOR(S)
gb2fit fits by ML the 4 parameter Generalized Beta distribution
of the second kind (GB2) to sample observations on a random
variable. gb2pred calculates statistics summarizing a GB2
distribution which has been fitted using gb2fit. Unit record
data are assumed (rather than grouped data). The Singh-Maddala
(1976) distribution is the special case when parameter p = 1, and
the Dagum (1977, 1980) distribution is the special case when
parameter q = 1. The GB2 distribution has been shown to provide a
good fit to data on income but, of course, it might also be
suitable for describing any skewed variable, not only income.
KW: Generalized Beta of the Second Kind
KW: GB2
KW: inequality
KW: maximum likelihood
Requires: Stata version 8.2
Distribution-Date: 20070316
Author: Stephen P. Jenkins, University of Essex
Support: email [email protected]
INSTALLATION FILES (type net install gb2fit)
gb2fit.ado
gb2fit_ll.ado
gb2fit.hlp
gb2pred.ado
gb2pred.hlp
-------------------------------------------------------------------------------------------------
(type -ssc install gb2fit- to install)
--
Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374. Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/
Downloadable papers and software: http://ideas.repec.org/e/pje7.html
*
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