A quick look at paragraph 9.10 of (Harrell 2001)
suggest to me that that contains most of the
information you need to implement such a method in
Stata. It is very similar to the way Jay suggested.
Harrell, Frank (2001) "Regression Modeling Strategies:
With Applications to Linear Models, Logistic
Regression, and Survival Analysis", New York, Springer.
Hope this helps,
Maarten
--- SR Millis <[email protected]> wrote:
> Thanks, Jay, for your interesting discussion. Right
> now, I use the "pentrace" function from Frank
> Harrell's Design library (in Splus/R) to find the
> optimal penalty factor by tracing effective AIC for a
> grid of penalties. From there, implementing PMLE in
> Splus/R is reasonably easy but I prefer working in
> Stata whenever possible.
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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