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Re: st: question with MLE and complex model


From   Partha Deb <partha.deb@hunter.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: question with MLE and complex model
Date   Mon, 04 Aug 2008 11:25:39 -0400

.

Stas is correct that the problem does seem odd. But without specifics, I'm having a hard time with diagnoses.

-iter()- and -from()- both work with -fmm- . The mixing probabilities are, in fact, specified as multinomial logits.

clear all
use http://urban.hunter.cuny.edu/~deb/Stata/datasets/mepssmall.dta
gen mc=(instype>1)

fmm docvis mc female minority age nchroniccond, mi(negbin2) co(2)

fmm docvis mc female minority age nchroniccond, mi(negbin2) co(2) ///
pr(female) iter(0)

does what Stas is suggesting.

Partha




Stas Kolenikov wrote:

On Thu, Jul 31, 2008 at 2:22 PM, Jonathan Hanson
<johanson@maxwell.syr.edu> wrote:
What happens when you estimate 2 and 3 component mixtures without
covariates in the probabilities?
I can get results with no covariates in the probabilities when starting with
a 2 component mixture and then moving to 3 component mixture.  Usually, as
soon as I add one covariate in the probabilities, Stata cannot find initial
values, whether there are 2 or three components.
That's odd -- if you specify the value of zero for your covariate,
then this is precisely the model with fixed probabilities. If the
latter converged, then at least for one set of values the likelihood
is computable! And most likely in the vicinity of that model the
likelihood should be well defined. Of course Stata might be making big
jumps with the -ml search- procedure getting out of the domains of
reasonable estimates for which the likelihood is computable. It
depends on the implementation details though, and I am drawing a blank
about how the mixture probabilities were coded -- a multinomial logit,
I would think (Partha?)

A crude way of looking into what -from- is expecting is to supply a
vector of zeroes or ones as the -from- option, and also specify
-iter(0)- option (I hope Partha's code supports transfer of
maximization options; this is good -ml- programming style!). Then the
estimation will conclude without starting, and you can look into the
format of the parameter vector using

mat li e(b)

--
Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

Emancipate yourselves from mental slavery
None but ourselves can free our minds.
	- Bob Marley

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