Adventures with the profile log-likelihood

Session

pllf, written by Patrick Royston in 2007, computes and graphs the profile log-likelihood function for a wide variety of regression commands. This enables calculation of confidence intervals that do not rely on the standard Wald approximation that (estimate-true)/SE is Normally distributed: pllf confidence intervals are likely to perform better than Wald ones in smaller samples. We believe pllf is an under-used command for analysis, and we also find it useful for understanding and explaining statistical methods. We aim to demonstrate its usefulness for teaching purposes and for understanding bias in two-stage meta-analysis. We also describe some recent minor improvements in pllf (e.g. it is now a prefix command). The latest version is available on github and SSC.