st: change the format of the pseudo log-likelihood in gb2fit

[<S.Jenkins@lse.ac.uk>]

My tuppence is much the same as Nick Cox's sixpence:

Q1. As Nick says, the issue is with -ml- , not with my program modules. That is why I gave you the example of the same behaviour with -logit- and the -svy- prefix -- to illustrate the point.

Q2. Indeed Michal Brzezinski has very kindly provided code for you. In writing your own code, as you should, you can exploit the fact that the Singh-Maddala and Dagum distributions are nested with the GB2. So, you can use the same expressions, if you must, but constraining the relevant parameters appropriately. The lognormal distribution is not nested thus, but there are only 2 parameters and so you should be able to write your own code, using Michal's template and adapting it.

Q3. Michal took you most of the way; I've just have added to that.

Please do note Nick's remark about how to format results when using -display-.

Also, I recommend consulting statistics texts about model comparisons in the case of survey estimation (when a 'pseudo-likelihood' value rather than a likelihood value is produced). I recollect that one shouldn't naïvely apply likelihood ratio tests in this case (but don't have references to hand), and my guess is that Stata's lack of e(ll) in the -ereturn list- after fitting by -ml- with -svy- is related to this.

There are other ways of assessing the goodness of fit of these sorts of models, including graphical ones, and comparisons of fitted statistics with their non-parametric counterparts. See my German Stata User Group presentation, with URL cited in my earlier response

Stephen

------------------------------

Date: Fri, 6 Jul 2012 22:38:07 +0100
From: Nick Cox <njcoxstata@gmail.com>
Subject: Re: st: change the format of the pseudo log-likelihood in gb2fit

Thanks for clarifying what you want. On your questions others may have
answers; here are mine.

1. My guess is No. This concerns not programs like -lognfit- but -ml-
that does the work. This is just a guess.

2. Michal has in effect already addressed this. You need to write your
own code to get what you want.

3. No comment.

Nick

On Fri, Jul 6, 2012 at 9:47 PM, Lucia R.Latino
<Latino@economia.uniroma2.it> wrote:
> Dear Nick,
>
> I am sorry if I was not clear in my previous email. I will try to explain
> here better.
>
> I need to choose the best fit for my data on consumption and I am using
> survey data.
>
> I have been using the programs written by Stephen Jenkins (e.g. gb2fit,
> smfit, dagumfit, lognfit) using the option svy.
>
> Stata shows the log pseudolikelihood with the scientific notation and it
> does not store the loglikelihood in e(ll).
>
> I used the code kindly suggested from Michal Brzezinski to recover the log
> pseudolikelihood for the gb2fit and I tried your suggestion of using
> -display- with a different format on r(sum). It worked.
>
> In order to get the full likelihood also for the other distributions (e.g.
> lognormal, Singh-Maddala, Dagum, Fisk, beta2) following the procedure above,
> I would need, as you said, to write a code for the log of each distribution
> functions. It's a little bit complicated (for me, at least).
>
> So, I was wondering if:
> 1.  there is a way to change the format of the output of -lognfit-, -smfit-,
> -dagumfit-, -fisk-, -beta2- in such way that the iterations of the log
> pseudolikelihood  are shown not in scientific notation; or
> 2. there is an easier way to recover the log pseudolikelihood  and store it
> after I run each command to fit the distribution; or
> 3. there is someone who can help me writing the code for the log of each
> distribution functions (which I understand it may be just asking too much),
> similarly to what Michal Brzezinski did for the gb2.
>
> Best,
> Lucia
>
>
>
>

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