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


From   SLG Brilleman <sam.brilleman@bristol.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: 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 16:12:43 +0100

Thanks for the references. I will investigate.

Will post some skeleton code on extracting the estimates if successful!

I realise the survival framework contains the generalised gamma, and my parameterisation in the code below is the same that used by Stata, however I kind of desire the ability to construct manual predictions (not least because it is a scary thought knowing that I cannot!).

Thanks again,
Sam.

--On 29 March 2010 06:22 -0700 Maarten buis <maartenbuis@yahoo.co.uk> wrote:

--- 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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----------------------
Sam Brilleman
Academic Unit of Primary Health Care
University of Bristol
25/27 Belgrave Road
Bristol  BS8 2AA

0117 331 3868
sam.brilleman@bristol.ac.uk
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