st: How to retrieve parameter estimates from an ML program, so they can be used in estimation of expected values, variances, etc...

[SLG Brilleman <sam.brilleman@bristol.ac.uk>]

Hi

I have recently written a program for ml estimation using the generalized 
Gamma distribution. The estimation routine seems to run fine and will 
produce estimates of the coefficients for the linear predictor (mu), and 
estimates of the two shape parameters (sigma and kappa).

My problem is that I want to estimate the expected value of yi (i.e. the 
individual predictions) - an equation involving estimates of all three 
parameters (mu, sigma, kappa). I am reasonably new to STATA and cannot 
figure out the syntax to retrieve and store the estimates of mu, sigma, and 
kappa, so that I can generate the new variable yi.

I have tried 'ereturn', 'scalar' and 'gen' statements both within the 
program and externally after ml maximise (when outside the program I have 
the additional problem of distinguishing between the two shape parameters 
currently both _cons in the output).

Any help would be much appreciated! My code is currently along the lines 
of...

/* Full log-likelihood */
program ggm, eclass
	version 10
	args todo b lnf
	
	/* Define parameters of GGM */
	tempvar mu sigma kappa 		
	mleval `mu' = `b', eq(1)	
	mleval `sigma' = `b', eq(2)
	mleval `kappa' = `b', eq(3)
	
	/* Temporary variables to be used in likelihood */
	tempvar n sumlny A B
	quietly gen double `n' = _N
	quietly egen double `sumlny' = total(ln($ML_y1))
	quietly gen double `A' = abs(`kappa')^(-2)
	quietly egen double `B' = 
total(exp((((abs(`kappa'))*(sign(`kappa'))/(`sigma'))*(ln($ML_y1)-`mu'))))

	/* Log-likelihood */
	mlsum `lnf' = 
(`n'*(`A'-0.5)*ln(`A'))-(`n'*ln(`sigma'))-(`n'*lngamma(`A'))-`sumlny'+ ///
		((sign(`kappa')*(sqrt(`A'))/(`sigma'))*(`sumlny'-`n'*`mu'))-(`A'*`B')

	/* Some of the attempts at extracting sigma */
	scalar __sigma =_b[`sigma':_cons]
	gen __sigma =_b[`sigma':_cons]
	ereturn scalar sigma = _b[sigma:_cons]
end

Thanks,
Sam.
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