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IVGLOG: Stata module to estimate inverse Gaussian distribution-log link MLE model

Author

Listed:
  • Joseph Hilbe

    (Arizona State University)

Programming Language

Stata

Abstract

ivglog estimates a full-information maximum-likelihood version of the inverse Gaussian family-log link generalized linear model. That is, the coefficient (i.e., point) estimates produced by ivglog are similar to the coefficient estimates produced by glm ..., family(ig) link(log); see help glm. The standard errors, however, will be slightly different since the log link is not the canonical link for the inverse Gaussian family. ivglog estimates distributions with a typically high initial peak with a long tail. It can be used to estimate otherwise log-gamma of negative binomial models with extremely long right-hand tails; see help gammalog and help nbreg. The outcome variable assumed for ivglog is continuous and is strictly greater than zero. (ivglog does not allow depvar to take on the value zero or any negative value.)

Suggested Citation

  • Joseph Hilbe, 1999. "IVGLOG: Stata module to estimate inverse Gaussian distribution-log link MLE model," Statistical Software Components S378901, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s378901
    Note: This module may be installed from within Stata by typing "ssc install ivglog". 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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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivglog.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivgln_ll.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/ivglog.hlp
    File Function: help file
    Download Restriction: no
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    Keywords

    Stata;

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