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Re: st: mprobit and ivlogit?


From   rgates@stata.com (Richard Gates)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: mprobit and ivlogit?
Date   Thu, 31 Aug 2006 07:56:10 -0500

Nishant Dass <nishant_dass@yahoo.com> inquired about the speed of -mprobit-
compared to -mlogit-.  

> When I try to do a multinomial analysis, I have to rely on
> -mlogit- because -mprobit- takes about 10 minutes for each
> "iteration" (and doesn't converge even after running for 8
> hours).  Then, when I try to instrument one of the
> independent variables, I have no choice but to use
> -ivprobit-.

-mprobit- is slow when compared to -mlogit- since it uses quadrature to
approximate the multivariate normal distribution.  Moreover, it only computes
the first order derivatives of the log likelihood analytically (in -ml- terms
it has a d1 likelihood evaluator) so the second derivatives are approximated
numerically.  All compuations are done in ado an Mata.  In comparison, -mlogit-
is implemented in C and computes the second derivatives analytically.

If you run the document example, the sysdns3 data, -mprobit- is about 900 times
slower than -mlogit-.  My guess is you have a large data set with many
alternatives so Stata's version of -mprobit- may not be a feasible routine to
use, or you need a faster computer.  Note, that -mprobit- is using Newton-
Raphson (-ml, technique(nr)-) and you can get a faster feedback in the iteration
history if you use technique(bfgs), but the overall computation time will
probably be the same.

With that said, if you still feel there may be a problem with the -mprobit-
algorithm feel free to contact me at personally and, if possible, send the 
dataset or give me the specifics of your problem and I will simulate one.

-Rich
rgates@stata.com
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