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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: simulated maximum likelihood estimation |

Date |
Mon, 9 May 2005 21:18:25 +0100 |

As I understand it, you don't need 200 temporary variables to do what you want, as 2 will suffice. Thus your code, at a hasty hack, seems to boil down to this. I would still recommend building up the log likelihood as a sum of logs, not as a product to be logged later. I don't understand what you are trying to do, so can't help further. set trace off set more off cap program drop my_ll program my_ll version 8.2 args lnf xb tempname b sp0 sca `b' = 5 tempvar ed sp gen double `sp' = 1 gen double `ed' = 1 qui forval i = 1/100 { replace `ed' = -ln(uniform()) * `b' replace `sp'= `sp' * (invlogit(`xb' + `ed')) if $ML_y1 == 1 replace `sp'= `sp' * (invlogit(-(`xb' + `ed'))) if $ML_y1 == 0 } qui replace `lnf' = ln(`sp') end Nick n.j.cox@durham.ac.uk Jun Xu > Sorry for that mistake. The following is a revised version. > Still encounter > difficulty calculating numerical derivatives. I don't think it's data > problem. I tried to look into mvprob_ll.ado by Dr. Cappellari and Dr. > Jenkins, and I am stuck there. No one is responsible for > solving my problem, > except myself; however, I do need some even slight hint to > get me through. > > ******************************** > set trace off > set more off > cap program drop my_ll > program my_ll > version 8.2 > args lnf xb > tempname b sp0 > sca `b' = 5 > > forval i = 1/100 { > tempname ed`i' like`j' sp`i' > gen double `sp`i'' = 0 > } > > gen double `sp0' = 1 > > qui replace `lnf' = 0 > forval i = 1/100 { > loc j = `i' - 1 > qui gen double `ed`i'' = -ln(uniform())*`b' > qui replace `sp`i''= `sp`j''*(invlogit( > `xb'+`ed`i'')) if > $ML_y1 == 1 > qui replace `sp`i''= > `sp`j''*(invlogit(-(`xb'+`ed`i''))) if > $ML_y1 == 0 > } > > qui replace `lnf' = ln(`sp100') > end > > use binlfp2.dta, clear > ml model lf my_ll (lfp = k5 k618 age), technique(nr bhhh dfp bfgs) > ml search > ml maximize > * * 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/

**Follow-Ups**:**RE: st: RE: simulated maximum likelihood estimation***From:*"Jun Xu" <mystata@hotmail.com>

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