Re: st: RE: ml and parmby versus statsby

["Roger B. Newson" <r.newson@imperial.ac.uk>]

My version of -parmby- has the same date as Nick's, and does not allow a 
-quietly- option, at least under my Stata/MP Version 12, which is fully 
up to date and dated 22 Oct 2012 according to -update query-. So I would 
guess that S. Suetens has reported a slightly garbled version of the 
-parmby- command used.

Best wishes

Roger

Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
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Opinions expressed are those of the author, not of the institution.

On 12/12/2012 18:05, Nick Cox wrote:
> We can be pleased that you no longer see a problem, but what happened
> remains mysterious.
>
> 1. -parmby- permits other options but these are in turn (if I follow
> Roger's code correctly) passed to -parmest-, which does not in fact
> allow a -quietly- option. So why your earlier code ran at all is a
> puzzle.
>
> 2. In general, the effect of a -quietly- option in Stata would be that
> something is done "quietly", although that's a convention, not a rule.
> If so, results should be exactly as they were before, not different.
>
> I spell out here, as we are all asked to do, that -parmby- is a
> user-written command. I looked at -parmby-  from SSC and -which- tells
> me
>
> *! Author: Roger Newson
> *! Date: 02 September 2009
>
> Nick
>
> On Wed, Dec 12, 2012 at 5:41 PM, S. Suetens <S.Suetens@uvt.nl> wrote:
>
> > This is very helpful.
> > I re-ran the parmby command, but without including the quietly option, and estimation results are the same now as those under statsby.
>
> Roger B. Newson
>
> > I don't know how your -statsby- and -parmby- results are different, as you haven't told us. However, -statsby- creates a  dataset with 1 observation per by-group, and different variables for the estimates and standard errors for different parameters. -parmby-, on the other hand, creates a dataset with 1 observation per parameter per by-group, with 1 variable for the estimate and 1 variable for the standard error, and other variables for the confidence limits and P-values.
> >
> > I am a bit mystified about the -quietly- option for -parmby-. As the author of -parmby-, I never knew that -parmby- had a -quietly- option, although it can take the -quietly- prefix like other Stata commands.
>
> On 12/12/2012 15:52, S. Suetens wrote:
>
> > > Is there anyone who can explain why maximum likelihood estimation gives different results under parmby as compared to statsby?
> > > I have run the two commands below (based on the same likelihood function) and they give very different parameter estimates and standard errors.
> > >
> > > statsby _b _se, by(id) saving("D:\Statsby.dta", replace) nodots: ml
> > > model lf MaxLik (lambda: strategy =) (rhosigma: RHO SIGMA, nocons),
> > > max difficult
> > >
> > > parmby "ml model lf MaxLik (lambda: strategy =) (rhosigma: RHO SIGMA,
> > > nocons), max difficult", by(id) saving("D:\Parmby.dta", replace)
> > > quietly
>
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