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Re: st: How to retrieve parameter estimates from an ML program, so they can be used in estimation of expected values, variances, etc...
From
Maarten buis <[email protected]>
To
[email protected]
Subject
Re: st: How to retrieve parameter estimates from an ML program, so they can be used in estimation of expected values, variances, etc...
Date
Mon, 29 Mar 2010 06:22:08 -0700 (PDT)
--- On Mon, 29/3/10, SLG Brilleman wrote:
> 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).
You can use predict to get the linear predictors, you can also
write your own predict sub-program, which will be called by
-predict- automatically create more complicated predictions.
See for example -viewsource logit_p.ado-. A really indispensable
book when writing this kind of programs in Stata is:
http://www.stata.com/bookstore/mle.html
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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