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RE: st: Penalized MLE

From   Maarten buis <[email protected]>
To   [email protected]
Subject   RE: st: Penalized MLE
Date   Sun, 27 Jan 2008 09:16:09 +0000 (GMT)

A quick look at paragraph 9.10 of (Harrell 2001) 
suggest to me that that contains most of the 
information you need to implement such a method in 
Stata. It is very similar to the way Jay suggested.
Harrell, Frank (2001) "Regression Modeling Strategies:
With Applications to Linear Models, Logistic 
Regression, and Survival Analysis", New York, Springer.

Hope this helps,

--- SR Millis <[email protected]> wrote:
> Thanks, Jay, for your interesting discussion.  Right
> now,  I use the "pentrace" function from Frank
> Harrell's Design library (in Splus/R) to find the
> optimal penalty factor by tracing effective AIC for a
> grid of penalties.  From there, implementing PMLE in
> Splus/R is reasonably easy but I prefer working in
> Stata whenever possible. 

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

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