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Re: st: -gammafit-, -pgamma-, -qgamma- packages revised on SSC


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: -gammafit-, -pgamma-, -qgamma- packages revised on SSC
Date   Wed, 18 May 2011 00:44:03 +0100

This may not have been clear enough.

-gmm- naturally uses whatever kind of GMM you specify.

-gammafit- is a maximum likelihood fitter.

I was led by looking at -gmm- documentation to ensure that there was a
way of doing the same gamma example using ML.

Incidentally, if you use the same data as the -gmm- example, and all
of -gammafit-'s defaults, it doesn't converge. It needs either a
-technique()- other than -nr- or the -alternative- parameterisation.
You can read that in various ways, that ML doesn't always find
reasonable solutions, that the example is not actually very close to a
gamma distribution, and so on.

Stata 11 users can get that data by

. webuse greenegamma, clear

Stata 10 users can get it by

. use  http://www.stata-press.com/data/r11/greenegamma.dta, clear

I doubt that trick will work in Stata 9 or earlier, given changes in
Stata's dataset format.

Nick

On Wed, May 18, 2011 at 12:04 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> Thanks to Kit Baum as usual, these three packages have been revised on SSC.
>
> The main change is to support an alternative parameterisation of the
> gamma distribution directly.
>
> In Stata 11, -gmm- has a worked example of fitting a two-parameter
> gamma distribution directly using fake data from Greene's well-known
> econometrics textbook. This example uses what these packages now
> support via an -alternative- option.
>
> Greene's text is described in http://www.stata.com/bookstore/ea.html
>
> Various other small updates have been made to the help.
>
> If interested, please install or update using -ssc- or -adoupdate-.
>
> Nick
>
> GAMMAFIT
>  module to fit a two-parameter gamma distribution
>  Authors: Nicholas J. Cox  Stephen P. Jenkins       Req: Stata version
> 8.0 (4.0 for gamma4)
>  Revised: 2011-05-17
>
> QGAMMA
>  module to generate quantile-quantile plot for data vs fitted gamma distribution
>  Authors: Nicholas J. Cox       Req: Stata version 8.0 (4.0 for pgamma4)
>  Revised: 2011-05-17
>
> PGAMMA
>  module to generate probability plot for data vs fitted gamma distribution
>  Authors: Nicholas J. Cox       Req: Stata version 8.0 (4.0 for pgamma4)
>  Revised: 2011-05-17

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