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st: negative variance after gb2fit
From
<[email protected]>
To
<[email protected]>
Subject
st: negative variance after gb2fit
Date
Wed, 4 Jul 2012 10:57:51 +0100
Many thanks to Michal Brzezinski for spotting this little bug. I'll send
a corrected version of -gb2fit- to Kit Baum to replace the existing one
on SSC
Stephen
------------------------------
Date: Tue, 3 Jul 2012 23:41:34 +0200
From: Michal Brzezinski <[email protected]>
Subject: Re: st: negative variance after gb2fit
I think that there is a typo in gb2fit in calculating variance for the
fitted model.
Lines 236-239 of gb2fit are:
eret scalar var = `b'*`b'*exp(lngamma(1+2/`a'))
///
*exp(lngamma(`q'-2/`a'))
///
/(
exp(lngamma(`p'))*exp(lngamma(`q')) ) ///
- (`e(mean)'*`e(mean)')
"1" in the first line should be replaced with "p", so that the correct
expression for variance is:
eret scalar var =
`b'*`b'*exp(lngamma(`p'+2/`a')) ///
*exp(lngamma(`q'-2/`a'))
///
/(
exp(lngamma(`p'))*exp(lngamma(`q')) ) ///
- (`e(mean)'*`e(mean)')
I hope that this helps with your problem.
Michal Brzezinski
-------------------------------------
Professor Stephen P. Jenkins <[email protected]>
Department of Social Policy
London School of Economics and Political Science
Houghton Street, London WC2A 2AE, U.K.
Tel: +44 (0)20 7955 6527
Changing Fortunes: Income Mobility and Poverty Dynamics in Britain, OUP
2011, http://ukcatalogue.oup.com/product/9780199226436.do
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/survival-analysis
Downloadable papers and software: http://ideas.repec.org/e/pje7.html
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