st: simulated likelihood again

 From Jenkins S P To statalist@hsphsun2.harvard.edu Subject st: simulated likelihood again Date Mon, 29 Aug 2005 12:08:06 +0100 (BST)

```On Mon, 29 Aug 2005, statalist-digest wrote:

```
```Date: Sun, 28 Aug 2005 09:42:23 -0500
From: "Jun Xu" <mystata@hotmail.com>
Subject: RE: st: maximum simulated likelihood

Dear Professor Jenkins and other listers,

1. Thanks for correcting my incorrect terminology. I should use msl (maximum
simulated likelihood)
2. So I would say that we HAVE to create those random variables outside the
loop first, right?
3. With slight change in the last line, my new code now is
*****************************
forval i = 1/100   {
tempname ed`i'
gen double `ed`i'' = -ln(uniform()) // just a very ad hoc way of
creating random vars
}

qui forval i = 1/100 {
replace `sp'= `sp' * (invlogit(`xb' + `ed`i'')) if \$ML_y1 == 1
replace `sp'= `sp' * (invlogit(-(`xb' + `ed`i''))) if \$ML_y1 == 0
}

qui replace `lnf' = (ln(`sp')/100)
********************************
One more question:
I use simplest lf method. I am not quite sure why I need to have
"qui replace `lnf' = `lnf' + (ln(`sp')/100)" (say Option A) instead of
"qui replace `lnf' = (ln(`sp')/100)" (say Option B). For Option A, I cannot
get it converged. Option B converged. Regardless of the convergence, I am
just wondering which one is right.

Thanks a lot
Jun Xu
```

On (3), ensure that your code does proper cross-draws averaging. Option B certainly appears not to do it. [Option A may not either -- I don't have the time to check.]

It is not "ad hoc" to create pseudo-random draws using the uniform() function. It not immediately obvious to me, however, why you create `ed`i'' as minus the log of a uniform variate.

Stephen
=============================================
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester CO4 3SQ, UK
Phone: +44 1206 873374. Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
Survival Analysis Using Stata: http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/index.php
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