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Re: st: gradient for each observation from ml


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: gradient for each observation from ml
Date   Fri, 18 Jul 2008 12:20:44 -0500

If you are coding this as -d1- or -d2- method, you have to code the
derivatives, anyway. If you are using -lf-, then there should be some
technical temporary variables created by Stata, but you should not
mess with them (I tried for some of my projects, and it never worked
as intended).

You might want to switch to Mata and -optimize- where a lot of things
come more naturally in terms of matrix computations.

On 7/18/08, Michael Anthony Carlton <carlto12@msu.edu> wrote:
>  Does anyone know if there is a way to get the calculated gradient (or outer
>  product of the gradient) for each observation used in an ml command? I am
>  estimating a multivariate fractional response model where the first step is
>  to estimate a multivariate "probit" for each time period and the second step
>  is to estimate the final parameters using minimum distance. I need to use
>  the observation level OPG to estimate the correlation between time periods
>  in order to create the optimal weighting matrix for the MD estimation.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: Please do not reply to my Gmail address as I don't check
it regularly.
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