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st: RE: RE: scale parameter form saved by glm
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
st: RE: RE: scale parameter form saved by glm
Date
Thu, 24 Feb 2011 18:30:14 +0000
Oh, and -qgamma- and -pgamma- on SSC are dedicated plotting commands for univariate distribution fits.
Nick
[email protected]
Nick Cox
Given an interest in fitting gamma distributions [not functions!]:
I have a bias, apparent in a moment, but I'd say that -glm- is at best a slightly indirect way of doing it as, for very good reasons in its own terms, it treats one parameter as ancillary.
Its different parameterisation is at best a secondary source of awkwardness.
-gammafit- from SSC (Cox and Jenkins) is a dedicated tool with the small but non-zero advantage that it uses a parameterisation that is often more convenient.
. clear
. set obs 1000
obs was 0, now 1000
. gen y = rgamma(1,10)
. su y
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
y | 1000 10.03288 10.11876 .0194768 72.50683
. gammafit y
initial: log likelihood = -<inf> (could not be evaluated)
feasible: log likelihood = -21154.755
rescale: log likelihood = -4665.8929
rescale eq: log likelihood = -3554.3868
Iteration 0: log likelihood = -3554.3868
Iteration 1: log likelihood = -3414.8659
Iteration 2: log likelihood = -3326.3478
Iteration 3: log likelihood = -3314.4855
Iteration 4: log likelihood = -3305.9761
Iteration 5: log likelihood = -3305.864
Iteration 6: log likelihood = -3305.8635
Iteration 7: log likelihood = -3305.8635
ML fit of two-parameter gamma distribution Number of obs = 1000
Wald chi2(0) = .
Log likelihood = -3305.8635 Prob > chi2 = .
------------------------------------------------------------------------------
y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
alpha |
_cons | .9965541 .0392293 25.40 0.000 .9196661 1.073442
-------------+----------------------------------------------------------------
beta |
_cons | 10.06757 .5086919 19.79 0.000 9.070552 11.06459
------------------------------------------------------------------------------
Nick
[email protected]
Curtis Huffman Espinosa
I've been using the -glm- command to fit a gamma function, being my main interest the parameters of the fitted distribution. The thing is that I'm not sure which form of the scale parameter is saved in e(phi), whether this is exactly the same b (or 1/b) requested by the -gammaden()- function or not seem a total mystery just by looking at the ado-file.
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