Programmable GLM: Two user–defined links
Weihua Guan
Stata Corporation
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Roberto G. Gutierrez
Stata Corporation
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Abstract. With the release of Stata 7, the glm command for fitting generalized
linear models underwent a substantial overhaul. Stata 7 glm contains
an expanded array of variance estimators, regression diagnostics, and other
enhancements. The overhaul took place to coincide with the release of Hardin
and Hilbe (2001). With the new glm came a modular design that enables
users to program customized link functions, variance functions, and weight
functions to be used if Newey–West covariance estimates are desired.
Because cases requiring customized link functions are the more prevalent in
the literature, only those are considered here. We give two examples where a
nonstandard link function is required: the relative survival model of
Hakulinen and Tenkanen (1987) and a logistic model that accounts for natural
response as described in Collett (2003). The relative ease (over previous
versions of Stata) with which these alternate links can be programmed into
glm is demonstrated.
View all articles by these authors:
Weihua Guan, Roberto G. Gutierrez
View all articles with these keywords:
GLM, survival analysis, Cox regression, programming
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