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Re: st: Nested maximum likelihood algorithms


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nested maximum likelihood algorithms
Date   Wed, 29 Aug 2007 16:52:46 -0500

Lesha,

some of the guts of ML are available through the global macros,
although it would require extreme caution handling with those guts.
The coefficient vector is available as $ML_b, and I am sure you can
capture that from inside Mata.

On 8/29/07, ξις νιόζ <icef-research@hse.ru> wrote:
> 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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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name

Small print: Please do not reply to my Gmail address as I don't check
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