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st: Bootstrapping with ML


From   Robert Town <rjtown@umn.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Bootstrapping with ML
Date   Mon, 22 Aug 2005 16:30:36 -0500

I am posting another message about the same subject as below with additional information. Sorry for the additional posting on the same subject. However, I heard from a friend on this list that I should be more specific with the type of error message that I am getting.

With Stata 8.2, the command

>> bs "ml maximize" "_b[patient][age]"

gives the following error message

>> invalid syntax
>> error in statistic: _b[patient][age]
>> r(198);


With Stata 9.0, the command

>> bootstrap: ml maximize

gives the following error message.

>> variable maximize not found
>> an error occurred when bootstrap executed mlogit
>> r(111);

If anybody knows how to bootstrap maximum likelihood, I would really appreciate hearing from you.


My earlier message:


I used the Stata maximum likelihood (ml) routine to maximize a linear-form (lf) likelihood function that I wrote, using Stata 9.0 SE. The standard errors that Stata is reporting look off, so I am trying to bootstrap the maximum likelihood routine to obtain more robust standard errors.

I am not sure how to bootstrap the maximum likelihood routine. I tried "bs _b : ml maximize" but this gives an error message.

Does anyone have any experience bootstrapping the maximum likelihood routine for either Stata 8 or Stata 9? (I know that the bootstrap routine changed from 8 to 9, which is why I mention this.) If so, I would appreciate knowing how to do this.

Thanks again for your help ---

Robert Town
Associate Professor
University of Minnesota
School of Public Health
Mayo Mail Code 729
420 Delaware St. SE
Minneapolis, MN 55455

612-626-4683 (phone)
612-624-2196 (fax)

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