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Re: st: Changes in ML d2 routine between v10 and v11


From   Jeffrey Pitblado <jpitblado@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Changes in ML d2 routine between v10 and v11
Date   Mon, 18 Oct 2010 22:04:03 -0500

Patrick Eozenou <patrick.stata@gmail.com> is using an -ml- evaluator written prior to Stata 11 and noticed that when the evaluator is used in Stata 11, without version control, the result no convergance and a lot of "(not concave)" messages:

I am playing with method d2 of -ml- and found out a difference in
execution between version 10 and version 9. The following probit
likelihood evaluator reaches a solution if run under version 10, but
it remains stuck on a (not concave) value under version 11. I am just
curious as to why this is the case.

The probit evaluator Partick posted returns the negative of the Hessian matrix, which was required by -ml- prior to Stata 11.

The optimization engine that -ml- uses in Stata 11 now assumes that -d2- evaluators return the Hessian matrix, Patrick can use the -negh- option to tell -ml- that the evaluator returns the negative of the Hessian matrix.

--Jeff Pitblado
  jpitblado@stata.com
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