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Re: st: command for penalized MLE using a complex survey data?


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: command for penalized MLE using a complex survey data?
Date   Thu, 27 Sep 2012 19:09:04 -0500

Firth's correction deals with the information matrix in the i.i.d.
likelihood context. The i.i.d. assumption is explicitly violated with
the -svy-type data. Besides, the target of inference with survey data
are finite population parameters, which in this case would be the
parameters of the census logistic regression. It is difficult to say
how one could correct the finite sample bias with respect to that
parameter. I am not sure as to whether one can even find unbiased
estimating equations in this situation.

That's all theory, of course, and when the referees ask for this or
that, they may not know that such a thing does not exist. What I did
for one of my projects was to run -firthlogit- with [aw], which I
think it sort of does, and then -ereturn repost-ed the
variance-covariance matrix from -svy: logit-. This has no
justification whatsoever, of course, but that's arguably the closest
you can get.

-- 
-- Stas Kolenikov, PhD, PStat (SSC)  ::  http://stas.kolenikov.name
-- Senior Survey Statistician, Abt SRBI  ::  work email kolenikovs at
srbi dot com
-- Opinions stated in this email are mine only, and do not reflect the
position of my employer


On Thu, Sep 27, 2012 at 5:12 PM, Kim, Isok <isokkim@buffalo.edu> wrote:
> Hi,
> I noticed that firthlogit is not supported by svy prefix command with vce(linearized).  Does anyone know other commands to run penalized maximum likelihood estimation using the survey data?
>
> Thanks!
> isok
>
> Isok Kim, PhD LCSW
> Assistant Professor
> School of Social Work
> University at Buffalo
> 667 Baldy Hall
> Buffalo, NY  14260-1050
> (716) 645-1252
>
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