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Re: st: Problem with ML estimation


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with ML estimation
Date   Fri, 18 Aug 2006 13:44:17 -0500

Oops, that was right, you had four dependent variables in your -ml-
statement, that's what I was thinking about. I still believe that you
have identification problems with your program and your data. As you
most likely know, +\infty for Stata is a missing value, and if the
maximum is achieved at infinity, then the likelihood is flat in the
neighborhood of it, and that is what Stata complains about: it cannot
compute the derivative with adequate precision, as the subtraction of
the numerator and/or denominator in the numerical derivative is
machine zero. So even though the model might be technically
identified, it is empirically underidentified (i.e., for a given
combination of parameters and the data), and it is not identified in
computer arithmetics precision.

On 8/18/06, DEEPANKAR BASU <basu.15@osu.edu> wrote:
I am not sure I understand your comment. I am trying to estimate two parameters
(both constants) and not four. These constants are those contained in `theta3' and
`theta5'. Since I have three distinct observations, the model should work. Or am
I missing something?

I can ofcourse analytically see that the result of the estimation should give me
`theta3' as +\infty (or a very large number). Would it be a problem for STATA if the
result is +\infty?
--
Stas Kolenikov
http://stas.kolenikov.name
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