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st: Numerical maximization


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Numerical maximization
Date   Wed, 2 Oct 2002 17:08:37 +0100

Hi everybody.  A very general question for you:

What's the recommended strategy if you're writing a Stata estimator 
that requires numerical maximization methods but isn't maximum 
likelihood?  And if you think you might want to make the estimator 
available for general use?

Stata doesn't have a maximize program as such (-maximize- seems to be 
an ML program ... but maybe it's good enough for the task?). -findit- 
told me about a couple of user-written programs called -amoeba- and 
-quasi-.  I have no experience with these, nor with the tradeoffs in 
writing code that rely on other people's routines.  (It's great that 
they make their code publicly available, but we can't expect them to 
refrain from changing the specs if they see fit to do so, and of 
course that could cause your own code to fail to work.)

--Mark

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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