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st: markov transition model


From   Carol Bao <yanjunbb@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: markov transition model
Date   Mon, 17 Apr 2006 13:01:02 -0700 (PDT)

There have been quite a few postings regarding
estimating a multiple state (more than 2) markov
transition model, including the two postings in the
following.  I am wondering if anyone has suggestions
about this.  Also, there is this paper titled "Using
Stata's -ml method d2- to estimate a multi-state
Markov transition model" by Thomas BŁttner
(t.buettner@lse.ac.uk).  I am wondering if anyone has
used this method and what is the converging speed and
results, since -ml- with -d2- is no easy job.  It
seems that I cannot get hold of Mr. BŁttner via the
no-longer valid email address.

Any information in this regard will be highly
appreciated.  

Carol

*********************************

Dear David Epstein,

A couple years back you posted this (see below)
message -- I am extremely interested in the your
solution to this problem. I am estimating a dynamic
multinomial logit model and would like to create a
transition matrix of the conditional probabilities.

Thank you for the help.

Reka


just wondering whether anyone has coded transition
models, also known as
> Markov models, for 3 or more variables. That is, say
a system has 3
states.
> Then you want to estimate Pr(y_t+1=1 | y_t=1),
Pr(y_t+1=2 | y_t=1), and so
> on. The transition probabilities, given as functions
of independent
> variables, need not be identical of course;
otherwise it would just a an
> ordered probit or a multinomial logit.
>
> I know that this type of estimation goes by many
names, depending on one's
> field, but I haven't been able to find any
references to it in any of the
> previous STB's. Any help would be much appreciated.
>
> Thanks,
>
> David Epstein
Reka Sundaram-Stukel
Graduate student
320 Taylor Hall
Department of Agriculture And Applied Economics
Madison, WI-53706

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