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

Author

Listed:
  • Sophia Rabe-Hesketh

    (University of California - Berkeley)

Programming Language

Stata

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.

Suggested Citation

  • Sophia Rabe-Hesketh, 2008. "CI_MARG_MU: Stata module to produce simulation-based confidence intervals after gllapred," Statistical Software Components S456961, Boston College Department of Economics, revised 17 Nov 2008.
    • Handle: RePEc:boc:bocode:s456961
    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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/c/ci_marg_mu.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/ci_marg_mu.sthlp
    File Function: help file
    Download Restriction: no
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