Adventures with the proRle log-likelihood

Patrick Royston and Ian White
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Patrick Royston: University College London

UK Stata Conference 2025 from Stata Users Group

Abstract: pllf, written by Patrick Royston in 2007, computes and graphs the proRle log-likelihood function for a wide variety of regression commands. This enables calculation of conRdence intervals that do not rely on the standard Wald approximation that (estimate-true)/SE is Normally distributed: pllf conRdence intervals are likely to perform better than Wald ones in smaller samples. We believe pllf is an underused command for analysis, and we also Rnd it useful for understanding and explaining statistical methods. We aim to demonstrate its usefulness for teaching purposes and for understanding bias in two-stage meta-analysis. We also describe some recent minor improvements in pllf (for example, it is now a preRx command). The latest version is available on GitHub and SSC.

Date: 2025-09-04
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