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Re: st: My first Maximum Likelihood


From   Stas Kolenikov <skolenik@email.unc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: My first Maximum Likelihood
Date   Tue, 22 Oct 2002 13:43:03 -0400 (EDT)

Renzo,

>  program define mylikelihood
>  	args lnf theta1 theta2
>  	replace
> `lnf'=37*ln(norm((1000-`theta1')/`theta2')+30*ln(1-norm((1000-`theta1')/
> `theta2'))
>  end
>
>
>  ml model lf mylikelihood (Rincome= LB marital educ race xnorcsiz)
>  ml check
>  ml search
>  ml maximize
>  ml clear
>
>
>  Any idea? Suggestions?

It would help a lot if you provided the output and the error messages you
got.

Off the top of my head, I see a couple of difficulties with your program.
The first one is that you have two `theta's, but only specify one equation
in your -ml model- statement -- you would need to add another one which
would probably look like /sigma=.

Another thing seems more substantial -- are you sure your model is
identified? My understanding of probit regressions has been that the
variance of residuals is standardized to one, and not without a reason:
otherwise, you can scale up both the regression coefficients and the
variance by a common factor without changing the model and the likelihood.
You might have this problem if you have a constant term among your
regressors. Stata will not be able to find all this out by itself, but you
won't make it converge. That's exactly what lack of identification is:
there are many values of the parameters which yield exactly the same
likelihood, i.e., there is a ridge in the likelihood profile, and Stata
would have tremendously difficult time around it (even with -difficult-
option).

 ---                                    Stas Kolenikov
 --       Ph.D. student in Statistics at UNC-Chapel Hill
 - http://www.komkon.org/~tacik/  -- Stas.Kolenikov@unc.edu

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