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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: st: NLLS w/ normal distribution - some parameters not estimated |

Date |
Mon, 14 Jun 2010 06:38:16 +0000 (GMT) |

--- On Sun, 13/6/10, Denis Kalugin wrote: > I was thinking about ml, but it's beyond me how to input > two sets of parameters (xb1 and xb2) into ml model > estimation. That is pretty standard, see for example the example below. *------------- begin example ----------------------- program drop _all program define mynormal_lf args lnf ln_xb ln_zb qui replace `lnf' = /// lnnormalden($ML_y1, exp(`ln_xb'), exp(`ln_zb')) end sysuse auto, clear ml model lf mynormal_lf (xb: price = foreign rep78 mpg gear_ratio) /// (ln_zb: gear_ratio) ml check ml search ml maximize *---------------- end example ----------------------- > On top of that, several authors commented that in this > setting ml estimation often results in -infinity > loglikelihood value (which i got on a certain stage of > my trials) hence using this approach is not advisable. I would say that the model is not advisable: as I said earlier, the error variances are probably not identified. So the algorithm does exactly what it should do, not give you an answer when none exists. Searching for an algorithm that does give you an answer, even when none exists is obviously the wrong way to go. > I might give gmm a try, but it sounds like a rather > complicated programming task. Can you suggest a good > reading on introductory gmm in Stata? The -gmm- command is new to Stata 11, so the users haven't had time yet to start writing about it, they are now figuring it out for themselves. However, the StataCorp people are now talks on it at the Stata Users' Group meetings, e.g.: <http://www.stata.com/meeting/mexico10/mex10sug_drukker.pdf> Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

**References**:**Re: Re: st: NLLS w/ normal distribution - some parameters not estimated***From:*Denis Kalugin <denis.kalugin@gmail.com>

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