Profile likelihood for estimation and confidence intervals

Patrick Royston ()
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Patrick Royston: Cancer and Statistical Methodology Groups, MRC Clinical Trials Unit

Stata Journal, 2007, vol. 7, issue 3, 376-387

Abstract: Normal-based confidence intervals for a parameter of interest are inaccurate when the sampling distribution of the estimate is nonnormal. The technique known as profile likelihood can produce confidence intervals with better coverage. It may be used when the model includes only the variable of interest or several other variables in addition. Profile-likelihood confidence intervals are particularly useful in nonlinear models. The command pllf computes and plots the maximum likelihood estimate and profile likelihood-based confidence interval for one parameter in a wide variety of regression models. Copyright 2007 by StataCorp LP.

Keywords: pllf; profile likelihood; confidence interval; nonnormality; nonlinear model (search for similar items in EconPapers)
Date: 2007
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