brglm

Bias Reduced Generalized Linear Model Estimator Johannes S. Kunz, Kevin E. Staub, Rainer Winkelmann

• Current version: 1.0.1 25jun2021
• Jump to: overview update history references

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Overview

Stata program to estimate bias-reduced glm models Kosmidis and Firth (2009) can be alternatively installed using ssc install brglm in Stata (v1.0.0)

brglm estimates bias-reduced probit, logit and cloglog models by iterative weighted least squares (IWLS).

- Cross-sectional properties are derived by Kosmidis and Firth (2009).

- Panel models with fixed effects can be estimated by including an indicator variable for each panel unit
as shown by Kunz, Staub and Winkelmann (2021).

Note: brfeglm provides a new version of this command that is much faster and user friendly.

Update History

• Nov 14, 2017
  • initial commit
• Jun 25, 2021
  • correction printed log-likelihood value

References:

Kosmidis, Ioannis and David Firth. 2009. ‘Bias reduction in exponential family nonlinear models.’ Biometrika, 96(4):793–804.

Kunz, Johannes, Kevin E. Staub, and Rainer Winkelmann. 2021. Predicting Individual Effects in Fixed Effects Panel Probit Models. Journal of the Royal Statistical Society: Series A. Forthcoming.