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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