CI_MARG_MU: Stata module to produce simulation-based confidence intervals after gllapred
Sophia Rabe‐Hesketh · RePEc: Research Papers in Economics · 2008
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.