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


From   Yu Xue <snowrain@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit stata option: tech(bhhh) vce(opg)
Date   Wed, 17 Mar 2010 11:57:04 -0500

Hi Stas,
Thanks for your reply !
1. Actually, I was wondering how you got that error info,
"type d2 evaluators are not allowed with technique bhhh
r(111);"

I tried the same thing, and the error info I got was,
"bhhh requires observation level scores
r(504);"

Did you delete some code that produced that error info ? How did you
choose to use "d2"? I am sorry but I did not see the option "d2" with
"xtlogit". Can you please let me know how to find it ? Thank!

2. The reason why I wanted to use BHHH was because when I used
"xtlogit" to converge my model, stata did not give me any lnL value,
and showed the error info "Hessian is not negative semi-definite"
after the second iteration. So, I wonder if I will have to use "ml"
programming to code Hessian to be negative definite. Thanks for
letting me know about stata .ado file. I forgot to check them. I
checked just now and I found several .ado files that can be useful. I
may only need to do some changes in stata .ado file. Thanks!

Best,
Yu


On Wed, Mar 17, 2010 at 12:11 AM, Stas Kolenikov <skolenik@gmail.com> wrote:
> 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.ats.ucla.edu/stat/stata/
>>>
>>
>> *
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>
>
>
> --
> 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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