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st: -invgammafit- available on SSC


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: -invgammafit- available on SSC
Date   Fri, 9 Nov 2007 14:58:10 -0000

Thanks to Kit Baum, a new package -invgammafit- is available from 
SSC. Stata 8.1 is required. Use -ssc- to install if interested. 

This package is written by Stephen Jenkins and myself. 

The main program -invgammafit- fits a two-parameter inverse gamma
distribution with a shape parameter and a scale parameter, optionally as
dependent on covariates. In addition, -qinvgamma- and -pinvgamma- plot
q-q and p-p plots for observed data versus results from a fitted inverse
gamma. Various Mata functions for the inverse gamma are also included.
Those require Stata 9. 

The inverse gamma distribution is also known as the reciprocal gamma
distribution, Pearson Type V distribution and Vinci distribution. The
first
name seems most common in recent literature, especially given various
Bayesian practices. I've followed standard Stata conventions which lead
to axis labelling of "inverse inverse gamma", and I would like to flag
that such is not a bug, misfeature, solecism, slip, mistake, error, or
goof on my part. That is not to rule out the possibility of other bugs,
misfeatures, etc. 

-invgammafit- is the latest in a series of packages for fitting 
distributions, optionally as dependent on covariates, using maximum 
likelihood. Authors are Stephen Jenkins, Maarten Buis, Philippe Van 
Kerm and myself. Distributions treated similarly are 

beta
Dagum
Dirichlet 
gamma 
generalised beta of the second kind 
Gumbel 
inverse Gaussian
lognormal 
Singh-Maddala 
Type I Pareto

I suspect a few others may follow intermittently as the mood takes one
or more of us. 

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