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st: question RE -ml- and ancillary parameters


From   Phil Schumm <pschumm@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: question RE -ml- and ancillary parameters
Date   Tue, 15 May 2007 13:53:46 -0500

Hi,

I am coding an estimator for a model in which the number of ancillary parameters depends on the observed support of the dependent variable -- very similar to an ordinal probit or logit model. My first step was to translate R code I was given which successfully estimates the model into Stata (mostly into Mata); now, I would like to re- implement the estimator using -ml- to explore the performance differences and to access all of the -ml- related goodness (e.g., hooks for robust estimates of variance, svy capability, and constrained estimation).

I have used -ml- frequently in the past, but never with a problem like this. Unfortunately, -_oprobit- and -_ologit- (the underlying commands which implement -oprobit- and -ologit-) are built-in, so I can't see how they handle this issue. My first instinct would be to construct an -ml model- statement programmatically based on the data and then execute it. Is this a reasonable approach, and are there any practical limits to the number of ancillary parameters (i.e., equations) that can be specified this way?

Thanks,


-- Phil

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