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Re: st: possible bug in Nlogit


From   jpitblado@stata.com (Jeff Pitblado, Stata Corp.)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: possible bug in Nlogit
Date   Mon, 18 Aug 2003 14:24:31 -0500

Bo Cutter <bowmanc@citrus.ucr.edu> asks about differences in -nlogit- results
between a fully up-to-date Stata and one just off the installation CD:

> I have Stata 8 (SE) on the desktop and laptop.  The desktop version is
> recently updated (update all) including swapping the executable.  The
> notebook stata 8 is just what came off the CD.  I ran the exact same
> two-level Nlogit (7 nests, 43 choice) on both machines, with the
> maximization options d1 and difficult.  On the laptop it converges
> nicely to a LLF=-1810.  On the desktop there are no warning messages but
> it converges to LLF=-1811 and several standard errors are missing.  The
> files are exactly the same on each machine (I copied the files from
> laptop to desktop and ran them without any changes to make sure).  Can
> anybody explain why there is this difference and tell me whether the
> convergence results on the laptop are trustworthy?

Prior to version 8.1, -nlogit- used the Newton-Raphson optimization algorithm
("technique") when supplied with the -d1- option.

Now -nlogit- uses the BFGS algorithm (Broyden, Fletcher, Goldfarb, and Shanno)
by default (with or without the -d1- option).  It appears that -nlogit- is
having difficulty with BFGS and Bo's data.

Bo can use the -technique(nr)- option to get -nlogit- to use the
Newton-Raphson algorithm instead of BFGS.

P.S.  The -d1- option of -nlogit- has no effect if your Stata is up-to-date,
it has be superseded by the new -technique()- option.  It's only effective
under version control.

--Jeff
jpitblado@stata.com
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