CI_MARG_MU: Stata module to produce simulation-based confidence intervals after gllapred

Sophia Rabe-Hesketh

Statistical Software Components from Boston College Department of Economics

Abstract: ci_marg_mu produces simulation-based confidence intervals for predictions using gllapred varname, mu marg after estimation using gllamm. It repeatedly draws a sample of model parameter values from the estimated asymptotic sampling distribution (i.e., a multivariate normal distribution with mean given by the estimates in e(b) and covariance matrix in e(V)) and obtains predictions using these simulated parameters. It returns the appropriate percentiles in lower and upper. For example, with the level(95) and reps(1000) options, the 25th largest prediction is returned in lower and the 976th largest prediction is returned in upper.

Language: Stata
Requires: Stata version 10 and gllamm package
Keywords: confidence intervals; predicted probabilities; gllamm (search for similar items in EconPapers)
Date: 2008-09-22, Revised 2008-11-17
Note: This module should be installed from within Stata by typing "ssc install ci_marg_mu". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/ci_marg_mu.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/ci_marg_mu.sthlp help file (text/plain)

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