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st: Nested maximum likelihood algorithms


From   =?koi8-r?B?7unyIO3p/OY=?= <icef-research@hse.ru>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Nested maximum likelihood algorithms
Date   Wed, 29 Aug 2007 14:40:37 +0400

Dear Statalisters,

Following the suggestion at http://www.stata.com/support/faqs/res/statalist.html#noanswer,
I am rephrasing the question to which I seem to have no response.

I am programming a nested algorithm in which the 'outer' code is maximum likelihood, and the 'inner' one is the dynamic programming code I wrote in mata. I need to 1) take the coefficients obtained after first iteration of maximum likelihood (outer) algorithm, such as those reported by ml maximize, trace, 2) use them in my mata code to solve the dynamic programming problem inside mata, 3) take the results of that solution back to ml algorithm to obtain the estimates at the next iteration, and 4) continue this procedure until convergence.  

The intermediate coefficients are not reported by ereturn matrix, which contains only the final estimates, after ml algorithm has converged; but this is not what I want. 

Any hint into how should I proceed will be much appreciated, and sorry if this question is outside of anyone's interest and/or area of expertise. 

Alexis Belianin
ICEF SU-HSE, Moscow

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