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From |
"Stephen P. Jenkins" <stephenj@essex.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Constrained ML estimation |

Date |
Wed, 5 Nov 2003 10:21:46 +0000 (GMT Standard Time) |

On Wed, 5 Nov 2003 11:11:24 +0100 Thomas Cornelissen <thoco@gmx.net> wrote: > Dear all, > I have a problem defining constraints on parameters for ML estimation. I > manage to implement equality constraints, but no inequality constraints, > such as sigma+AD4-0. The first line in the below example delivers the error > message +ACI-Constraints invalid: not possible with test r(131)+ACI- > > constraint define 1 +AFs-sigma+AF0AXw-cons+AD4APQ-0+ADs- > ml model lf myll (b: lw +AD0- schooling experience experience2) (sigma:)+ADs- > ml search+ADs- > ml maximize+ADs- > > Can anybody tell me, whether such restraints are possible? > More generally, is it necessary to set a constraint to keep sigma positive, > or will a well behaved ML function alway assure that the estimation result > for sigma is positivie? To take a concrete example, if one of your parameters is a variance, you may want to ensure that it is positive, or another is a correlation you may want to ensure it is bounded by -1 and 1. The 'standard' way of doing this sort of thing using -ml- is to estimate the parameter in a transformed metric (which imposes the constraint), and then later to backtransform to get the parameter in the original metric (using the 'delta method' to get the s.e.): -_diparm- is your friend here. To take the variance case again, you could estimate the log(variance), and so on. Stephen ---------------------- Professor Stephen P. Jenkins <stephenj@essex.ac.uk> Institute for Social and Economic Research (ISER) University of Essex, Colchester, CO4 3SQ, UK Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151. http://www.iser.essex.ac.uk * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Constrained ML estimation***From:*"Thomas Cornelissen" <thoco@gmx.net>

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