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AW: st: How to retrieve parameter estimates from an ML program, so they can be used in estimation of expected values, variances, etc...


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: How to retrieve parameter estimates from an ML program, so they can be used in estimation of expected values, variances, etc...
Date   Mon, 29 Mar 2010 15:29:29 +0200

<> 


" A really indispensable
book when writing this kind of programs in Stata is:
http://www.stata.com/bookstore/mle.html";




With the fourth edition apparently forthcoming: http://www.stata-press.com/forthcoming.html



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Maarten buis
Gesendet: Montag, 29. März 2010 15:22
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: How to retrieve parameter estimates from an ML program, so they can be used in estimation of expected values, variances, etc...

--- On Mon, 29/3/10, SLG Brilleman wrote:
> I have recently written a program for ml estimation using
> the generalized Gamma distribution. The estimation routine
> seems to run fine and will produce estimates of the
> coefficients for the linear predictor (mu), and estimates of
> the two shape parameters (sigma and kappa).
> 
> My problem is that I want to estimate the expected value of
> yi (i.e. the individual predictions) - an equation involving
> estimates of all three parameters (mu, sigma, kappa). I am
> reasonably new to STATA and cannot figure out the syntax to
> retrieve and store the estimates of mu, sigma, and kappa, so
> that I can generate the new variable yi.
> 
> I have tried 'ereturn', 'scalar' and 'gen' statements both
> within the program and externally after ml maximise (when
> outside the program I have the additional problem of
> distinguishing between the two shape parameters currently
> both _cons in the output).

You can use predict to get the linear predictors, you can also
write your own predict sub-program, which will be called by
-predict- automatically create more complicated predictions.
See for example -viewsource logit_p.ado-. A really indispensable
book when writing this kind of programs in Stata is:
http://www.stata.com/bookstore/mle.html

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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