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From |
"Zhang, Sisi" <SZhang@urban.org> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Question about Simulated MLE using d1 method |

Date |
Fri, 9 Jul 2010 13:47:56 -0400 |

Hi Statalisters, I have a question about how to calculate gradience in Simulated MLE using d1 method. Shall we calculate gradience in each simulation right after calculating likelihood, then after all simulations, sum the gradiences up and take the average? I couldn't figure out how to make it work, even for a very simple model. The following is an ml program for random effect probit model to estimate a single parameter b. The model is standard: Y*=xb+mu(i)+v(it) with Y=1 if Y*>0. In this program, when simulate more than once (e.g. $S=20) and accumulate g1 from all simulations by "replace `g1'=`g1'+...." , the program can't converge and stays in the same values in every iteration. However, if simulate just once ($S=1), the program works fine and converges quickly (in that case I generate `g1'=normalden(.)... rather than accumulate `g1'=`g1'+normalden(.)... The program also works fine when simulate 20 times but just using d0 method and ignore the gradiance part. So I believe the problem is in the way accumulate `g1'. program define relnf args todo b lnf g tempvar xb lj mu random_mu g1 mleval `xb'=`b' local y $ML_y1 set seed 1234567 gen double `lj'=0 gen double `g1'=0 forv s=1/$S{ capture drop `random_mu' `mu' qui: bysort pid: gen double `random_mu' = invnorm(uniform())*0.5+2 qui: by pid: egen `mu'=mean(`random_mu') qui replace `mu'=`mu'*sqrt($T-1) /*The above three lines is to simulate a normal mu with mean 2 and std dev 0.5, for each pid*/ replace `lj'=`lj'+[normal(`xb'+`mu')]^`y'*[normal(-`xb'-`mu')]^(1-`y') replace `g1'=`g1'+normalden(`xb'+`mu')/`lj' if `y'==1 replace `g1'=`g1'-normalden(`xb'+`mu')/`lj' if `y'==0 } mlsum `lnf'=ln(`lj'/${S}) if (`todo'==0| `lnf'>=.) exit tempname d1 mlvecsum `lnf' `d1' =`g1'/$S matrix `g'=(`d1') end If anyone has written codes of any kind of simulated MLE using d1 method and doesn't mind to share with me, I would be greatly appreciated! Please help, thanks, Sisi Zhang * * 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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