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Re: st: xtlogit stata option: tech(bhhh) vce(opg)


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit stata option: tech(bhhh) vce(opg)
Date   Wed, 17 Mar 2010 00:11:07 -0500

In -d2- method, there is a single value of the likelihood produced,
the vector of analytical derivatives coded, and the Hessian matrix
coded as well, all by Stata developers. You don't need to do this kind
of work. My guess is that all the panel methods are implemented that
way. The implementation of BHHH implies an observation-level
contributions to the likelihood, scores and Hessian, which simply does
not work that way with panel data: the contributions are from the
panels.

Why do you insist on BHHH for this model?

On Tue, Mar 16, 2010 at 9:19 PM, Yu Xue <snowrain@gmail.com> wrote:
> Hi Stas,
> Thanks for answering my question. I guess I will have to code gradient
> in order to use bhhh, or code Hessian and jump over when it is not
> negative definite.
> Thanks!
>
> Best,
> Yu
>
> On Tue, Mar 16, 2010 at 7:58 PM, Stas Kolenikov <skolenik@gmail.com> wrote:
>> On Tue, Mar 16, 2010 at 3:41 PM, Yu Xue <snowrain@gmail.com> wrote:
>>> Hello all,
>>> I have a confusion about stata maximization options, in particular
>>> "tech()" and "vce()" when using "xtlogit".
>>>
>>> I am using xtlogit, and I see the maximization technique option has
>>> "bhhh". BHHH uses outer product gradients (opg) to estimate covariance
>>> matrix instead of using Hessian matrix. But "opg" is not an option for
>>> "vce(vcetype)". Are they contradictory/inconsistent ?
>>> So, is "bhhh" really an option in stata if I use "xtlogit" without
>>> coding gradient myself or not ? I think in order to use "opg" I have
>>> to code analytic gradient. But how come that "bhhh" is an option for
>>> "tech"?
>>
>> . webuse union
>> (NLS Women 14-24 in 1968)
>>
>> . xtlogit union south black, tech(bhhh)
>>
>> < output omitted >
>>
>> type d2 evaluators are not allowed with technique bhhh
>> r(111);
>>
>> So technique( bhhh ) is not really supported for this model.
>>
>> --
>> Stas Kolenikov, also found at http://stas.kolenikov.name
>> Small print: I use this email account for mailing lists only.
>> *
>> *   For searches and help try:
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>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


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