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Generalized linear models

Link functions

  • Identity
  • Log
  • Logit
  • Probit
  • Complementary log-log
  • Power
  • Odds power
  • Negative binomial
  • Log-log
  • Log-complement

Families

  • Gaussian (normal)
  • Inverse Gaussian
  • Bernoulli/binomial
  • Poisson
  • Negative binomial
  • Gamma

Choice of estimation method

  • Maximum likelihood
  • Iteratively reweighted least squares (IRLS)

Customizable functions

  • User-defined link functions
  • User-defined variance functions
  • User-defined HAC kernels

Choice of variance estimates and standard errors

  • Inverse Hessian
  • Outer product of the gradients (OPG)
  • Observed information matrix
  • Expected information matrix
  • Robust Huber/White/sandwich estimator
  • Robust variance with clustered/correlated data
  • Heteroskedasticity- and autocorrelation-consistent (HAC) with Newey–West, Gallant, Anderson, or user-written kernel
  • Jackknife
  • Bootstrap

GEE estimation for panel data

  • Correlation structures
    • Exchangeable
    • Independent
    • Unstructured
    • Autoregressive
    • Stationary
    • Nonstationary
    • Fixed
  • Conventional, robust, bootstrap, and jackknife standard errors

Multilevel mixed-effects GLMs

  • Two-, three-, and higher-level models
  • Nested (hierarchical) and crossed models
  • Random intercepts and slopes

Predicts

  • Expected value of dependent variable
  • Anscombe residual
  • Cook’s distance
  • Deviance residual
  • Diagonal of hat matrix
  • Likelihood residual
  • Pearson residual
  • Response residual
  • Score residual
  • Working residual

Factor variables

  • Automatically create indicators based on categorical variables
  • Form interactions among discrete and continuous variables
  • Include polynomial terms
  • Perform contrasts of categories/levels

Marginal analysis

  • Estimated marginal means
  • Marginal and partial effects
  • Average marginal and partial effects
  • Least-squares means
  • Predictive margins
  • Adjusted predictions, means, and effects
  • Contrasts of margins
  • Pairwise comparisons of margins
  • Profile plots
  • Graphs of margins and marginal effects
Watch Introduction to margins in Stata tutorials
Watch Profile plots and interaction plots in Stata tutorials

Additional resource

See test, predictions, and effects.

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