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help for fiskfit                                            Maarten L. Buis and
Stephen P. Jenkins (December 2007)
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Fitting a Fisk distribution by ML to unit record data

fiskfit varname [weight] [if] [in] [, avar(varlist1) bvar(varlist2)
ab(varlist) stats from(string) poorfrac(#) cdf(cdfname)
pdf(pdfname) robust cluster(varname) svy level(#)
maximize_options svy_options ]

by ... : may be used with fiskfit; see help by.

pweights, aweights, fweights, and iweights are allowed; see help weights.
To use pweights, you must first svyset your data and then use the svy
option.

Description

fiskfit fits by ML the 2 parameter Fisk (1961) or log-logistic
distribution to sample observations on a random variable var. Unit record
data are assumed (rather than grouped data). It is closely related to the
the Dagum (Dagum, 1977,1980) distribution. All are special cases of the
Generalized Beta of the Second Kind distribution (see gb2fit). For a
comprehensive review of these and other related distributions, see
Kleiber and Kotz (2003).

Options

avar(varlist1), and bvar(varlist2), allow the user to specify each
parameter as a function of the covariates specified in the respective
variable list. A constant term is always included in each equation.

ab(varlist) can be used instead of the previous option if the same
covariates are to appear in each parameter equation.

from(string) specifies initial values for the Fisk parameters, and is
likely to be used only rarely. You can specify the initial values in
one of three ways: the name of a vector containing the initial values
(e.g., from(b0) where b0 is a properly labeled vector); by specifying
coefficient names with the values (e.g., from(a:_cons=1 b:_cons=5
p:_cons = 0); or by specifying an ordered list of values (e.g.,
from(1 5 0 .16, copy)). Poor values in from() may lead to convergence
problems. For more details, including the use of copy and skip, see
{help:maximize}.

If covariates are specified, the next four options are not available.

stats displays selected distributional statistics implied by the Fisk
parameter estimates:  quantiles, cumulative shares of total var at
quantiles (i.e. the Lorenz curve ordinates), the mode, mean, standard
deviation, variance, half the coefficient of variation squared, Gini
coefficient, and quantile ratios p90/p10, p75/p25.

poorfrac(#) displays the estimated proportion with values of var less
than the cut-off specified by #. This option may be specified when
replaying results.

cdf(cdfname) creates a new variable cdfname containing the estimated Fisk
c.d.f. value F(x) for each x.

pdf(pdfname) creates a new variable pdfname containing the estimated Fisk
p.d.f. value f(x) for each x.

robust specifies that the Huber/White/sandwich estimator of variance is
to be used in place of the traditional calculation; see [U] 23.14
Obtaining robust variance estimates.  robust combined with cluster()
allows observations which are not independent within cluster
(although they must be independent between clusters).  If you specify
pweights, robust is implied.

cluster(varname) specifies that the observations are independent across
groups (clusters) but not necessarily within groups.  varname
specifies to which group each observation belongs; e.g.,
cluster(personid) in data with repeated observations on individuals.
See [U] 23.14 Obtaining robust variance estimates. cluster() can be
used with pweights to produce estimates for unstratified
cluster-sampled data.  Specifying cluster() implies robust.

svy indicates that ml is to pick up the svy settings set by svyset and
use the robust variance estimator. Thus, this option requires the
data to be svyset; see help svyset. svy may not be combined with
weights or the strata(), psu(), fpc(), or cluster() options.

level(#) specifies the confidence level, in percent, for the confidence
intervals of the coefficients; see help level.

nolog suppresses the iteration log.

maximize_options control the maximization process. The options available
are those shown by maximize, with the exception of from().  If you
are seeing many "(not concave)" messages in the iteration log, using
the difficult or technique options may help convergence.

svy_options specify the options used together with the svy option.

Saved results

In addition to the usual results saved after ml, fiskfit also saves the
following, if no covariates have been specified and the relevant options
used:

e(ba), and e(bb) are the estimated Fisk parameters.

e(cdfvar) and e(pdfvar) are the variable names specified for the c.d.f.
and the p.d.f.

e(mode), e(mean), e(var), e(sd), e(i2), and e(gini) are the estimated
mode, mean, variance, standard deviation, half coefficient of variation
squared, Gini coefficient. e(pX), and e(LpX) are the quantiles, and
Lorenz ordinates, where X = {1, 5, 10, 20, 25, 30, 40, 50, 60, 70, 75,
80, 90, 95, 99}.

The following results are saved regardless of whether covariates have
been specified or not.

e(b_a), and e(b_b) are row vectors containing the parameter estimates
from each equation.

e(length_b_a),and e(length_b_b) contain the lengths of these vectors. If
no covariates have been specified in an equation, the corresponding
vector has length equal to 1 (the constant term); otherwise, the length
is one plus the number of covariates.

Formulae

The Fisk distribution has distribution function (c.d.f.)

F(x) = 1/[ 1 + (b/x)^a ]

where a, b, are parameters, each positive, for random variable x > 0.
Parameters a is the key distributional 'shape' parameters; b is a scale
parameter.

Letting z = 1 + (b/x)^a, then F(x) = 1/z, and the probability density
function (p.d.f.) is

f(x) = a(b/x)^a*(1/x)/z^2

The likelihood function for a sample of observations on var is specified
as the product of the densities for each observation (weighted where
relevant), and is maximized using ml model lf.

The formulae used to derive the distributional summary statistics
presented (optionally) are as follows. The r-th moment about the origin
is given by

b^r*B(1+r/a,1-r/a)

where B(u,v) is the Beta function = G(u).G(v)/G(u+v) and G(.) is the
gamma function [exp(lngamma(.)], which by substitution and using G(1) =
1, implies the moments can be written

b^r*G(1-r/a)*G(1+r/a)

and hence

mean = b*G(1-1/a)*G(1+1/a)

variance = (b^2)*G(1-2/a)*G(1+2/a) - mean^2

from which the standard deviation and half the squared coefficient of
variation can be derived. The mode is

mode = b*((a-1)/(a+1))^(1/a) if a > 1, and 0 otherwise.

The quantiles are derived by inverting the distribution function:

x_s = b*( 1/s - 1)^(1/a) for each s = F(x_s).

The Gini coefficient of inequality is given by

Gini = -1 + G(2 + 1/a) / { G(1+1/a)*G(2) }.

The Lorenz curve ordinates at each s = F(x_s) use the incomplete Beta
function:

L(s) = ibeta(1+1/a, 1-1/a, s ).

Examples

. fiskfit x [w=wgt]

. fiskfit

. fiskfitfit, stats poorfrac(100)

. fiskfitmfit x, a(age sex) b(age sex)

. fiskfit x, ab(age sex)

. predict double a_i, eq(a) xb

. predict double b_i, eq(b) xb

. predict double p_i, eq(p) xb

Authors

Maarten L. Buis <m.buis@fsw.vu.nl>, Department of Social Research
Methodology, Vrije Universiteit Amsterdam, Boelelaan 1081, 1081 HV
Amsterdam, The Netherlands.

Stephen P. Jenkins <stephenj@essex.ac.uk>, Institute for Social and
Economic Research, University of Essex, Colchester CO4 3SQ, U.K.

References

Dagum, C. (1977). A new model of personal income distribution:
specification and estimation. Economie Appliquée 30: 413-437.

Dagum, C. (1980). The generation and distribution of income, the Lorenz
curve and the Gini ratio. Economie Appliquée 33: 327-367.

Fisk, P.R. (1961). The Graduation of Income Distributions.  Econometrica
29: 171-185.

Jenkins, S.P. (2004). Fitting functional forms to distributions, using
ml. Presentation at Second German Stata Users Group Meeting, Berlin.
http://www.stata.com/meeting/2german/Jenkins.pdf

Kleiber, C. (1996). Dagum vs. Singh-Maddala income distributions.
Economics Letters 53: 265-268.

Kleiber, C. and Kotz, S. (2003). Statistical Size Distributions in
Economics and Actuarial Sciences.  Hoboken, NJ: John Wiley.

McDonald, J.B. (1984). Some generalized functions for the size
distribution of income. Econometrica 52: 647-663.

Singh, S.K. and G.S. Maddala (1976). A function for the size distribution
of income. Econometrica 44: 963-970.

Also see

Online: help for hangroot dagumfit, smfit, gb2fit, lognfit, if installed.

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