Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Nick Cox <n.j.cox@durham.ac.uk> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: scale parameter form saved by glm |

Date |
Thu, 24 Feb 2011 18:26:40 +0000 |

Given an interest in fitting gamma distributions [not functions!]: I have a bias, apparent in a moment, but I'd say that -glm- is at best a slightly indirect way of doing it as, for very good reasons in its own terms, it treats one parameter as ancillary. Its different parameterisation is at best a secondary source of awkwardness. -gammafit- from SSC (Cox and Jenkins) is a dedicated tool with the small but non-zero advantage that it uses a parameterisation that is often more convenient. . clear . set obs 1000 obs was 0, now 1000 . gen y = rgamma(1,10) . su y Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- y | 1000 10.03288 10.11876 .0194768 72.50683 . gammafit y initial: log likelihood = -<inf> (could not be evaluated) feasible: log likelihood = -21154.755 rescale: log likelihood = -4665.8929 rescale eq: log likelihood = -3554.3868 Iteration 0: log likelihood = -3554.3868 Iteration 1: log likelihood = -3414.8659 Iteration 2: log likelihood = -3326.3478 Iteration 3: log likelihood = -3314.4855 Iteration 4: log likelihood = -3305.9761 Iteration 5: log likelihood = -3305.864 Iteration 6: log likelihood = -3305.8635 Iteration 7: log likelihood = -3305.8635 ML fit of two-parameter gamma distribution Number of obs = 1000 Wald chi2(0) = . Log likelihood = -3305.8635 Prob > chi2 = . ------------------------------------------------------------------------------ y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- alpha | _cons | .9965541 .0392293 25.40 0.000 .9196661 1.073442 -------------+---------------------------------------------------------------- beta | _cons | 10.06757 .5086919 19.79 0.000 9.070552 11.06459 ------------------------------------------------------------------------------ Nick n.j.cox@durham.ac.uk Curtis Huffman Espinosa I've been using the -glm- command to fit a gamma function, being my main interest the parameters of the fitted distribution. The thing is that I'm not sure which form of the scale parameter is saved in e(phi), whether this is exactly the same b (or 1/b) requested by the -gammaden()- function or not seem a total mystery just by looking at the ado-file. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: RE: scale parameter form saved by glm***From:*Nick Cox <n.j.cox@durham.ac.uk>

**References**:**st: scale parameter form saved by glm***From:*Curtis Huffman Espinosa <chuffman@colmex.mx>

- Prev by Date:
**Re: st: Fwd: Another question about zero inflated models** - Next by Date:
**st: RE: RE: scale parameter form saved by glm** - Previous by thread:
**st: scale parameter form saved by glm** - Next by thread:
**st: RE: RE: scale parameter form saved by glm** - Index(es):