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Re: st: RE: A simple question about Generalized Linear Model


From   "Mao Fan" <maoyongfan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: A simple question about Generalized Linear Model
Date   Thu, 23 Aug 2007 10:25:39 -0700

Hi Roger,

    Thanks for replying.  Post estmation won't work for my purpose.
Actually, Do you know how to get the estimated sigma square after GLM
estimation?

David



On 8/23/07, Newson, Roger B <r.newson@imperial.ac.uk> wrote:
> If you type in Stata
>
> help glm postestimation
>
> then you will find out about the calculation of predicted values for
> generalized linear models after you have used -glm-. The commands
> described there will probably be useful for your purposes.
>
> I hope this helps.
>
> Roger
>
>
> Roger Newson
> Lecturer in Medical Statistics
> Respiratory Epidemiology and Public Health Group
> National Heart and Lung Institute
> Imperial College London
> Royal Brompton campus
> Room 33, Emmanuel Kaye Building
> 1B Manresa Road
> London SW3 6LR
> UNITED KINGDOM
> Tel: +44 (0)20 7352 8121 ext 3381
> Fax: +44 (0)20 7351 8322
> Email: r.newson@imperial.ac.uk
> Web page: www.imperial.ac.uk/nhli/r.newson/
> Departmental Web page:
> http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/pop
> genetics/reph/
>
> Opinions expressed are those of the author, not of the institution.
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Mao Fan
> Sent: 23 August 2007 01:20
> To: statalist
> Subject: st: A simple question about Generalized Linear Model
>
> Hi,
>
>    Here is my question:
>
>    The condistional distribution of Y given X is
>    Y|X~N(b0+b1'X,sigma2)
>
>    I use glm command to estimate this conditional distribution.
>
>    Now I wish to predict the following probability based on glm
> estimates:
>
>    P = (1/sqrt(2*pi*sigma2))exp(-(Y-b0-b1'X)^2/2sigma^2)
>
> How could I get the predicted value of P?  Thanks a lot!
>
> David
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