SPSS Community News - Two New Extension Commands - STATS FIRTHLOG and STATS INEQUALITY

Posted by Jon K Peck on Apr 23, 2014; 9:07pm
URL: http://spssx-discussion.165.s1.nabble.com/SPSS-Community-News-Two-New-Extension-Commands-STATS-FIRTHLOG-and-STATS-INEQUALITY-tp5725639.html

In honor of Shakespeare's birthday :-) two new extension commands have been uploaded to the SPSS Community website.

STATS FIRTHLOG estimates the Firth variation of binary logistic regression, which can address the separation issues that sometimes arise in the standard logistic model, especially when the sample size is small.

From the algorithm description...
In general, maximum likelihood estimates are often prone to small sample bias. To reduce this bias, Firth suggested to maximize the penalized log likelihood log L(beta)* = log L(beta) + 1/2 log|I(beta)|, where I(beta) is the Fisher information matrix, i. e. minus the second derivative of the log likelihood. Applying this idea to logistic regression, the score function U(beta) is replaced by the modified score function U(beta)* = U(beta) + a, where a has rth entry a_r = 0.5tr{I(beta)^{-1} [d I(beta)/d beta_r]}, r = 1,...,k.

STATS INEQUALITY calculates up to seven measures of distribution inequality for a variable, including Gini, Atkinson, Theil, and others.  It supports split files, which makes group comparisons easy.

These commands require the R Essentials and at least version 18 of Statistics.  They can be downloaded from within Statistics using the Utilities menu in version 22. For older versions you can download them from the SPSS Community website (www.ibm.com/developerworks/spssdevcentral) in the Extension Commands collection.



Jon Peck (no "h") aka Kim
Senior Software Engineer, IBM
[hidden email]
phone: [phone]