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Re: st: moptimize gf evaluator
From
Klaus Pforr <[email protected]>
To
[email protected]
Subject
Re: st: moptimize gf evaluator
Date
Thu, 18 Nov 2010 11:04:09 +0100
Thank you for your helpful answer!
Klaus Pforr
Am 16.11.2010 22:46, schrieb Jeff Pitblado, StataCorp LP:
Klaus Pforr<[email protected]> had a follow-up question related to
-moptimize()- and the -gf- evaluator types:
Thank you for extensive and helpful answer. I'm still waiting for my
copy of the new edition of "ML with stata".
And it is correct, that by adding the derivatives of the panel-level log
likelihood with respect to the beta coefficients, I enable my evaluator
to correctly handle the robust, cluster and svy options, isn't it? I
understand the 2006 edition of "ML with stata" and the help files, that
I need the observation level scores for that.
I want to implement a modified conditional logit estimator, and I want
it to handle the cluster option (robust and weights are not that
important, but they seem to processable, once you specify the scores,
which you need for the cluster option anyway). Therefore it seems
necessary to implement the evaluator as a gf2 type and not as d2 type
evaluator. I need the gradient and the hessian to gain speed and
precision, as the likelihood has a computationally complex denominator.
Yes, the -gf- evaluator types allow for robust, cluster, and -svy- options.
In my previous post, change the line
moptimize_result_display(M)
to
moptimize_result_display(M, "robust")
to get the robust standard errors for the fitted model.
Panels must be nested within clusters for -moptimize()- to compute clustered
variances.
There is currently a bug in how -moptimize()- performs the conformability
check of the scores with the data/groups. This bug causes
-moptimize_result_display(M, "robust")- to exit with a conformability error
before it can report the coefficient table.
We'll have this fixed in a future ado-file update; however, in the mean time,
just change the call
moptimize_init_by(M, panel)
to
moptimize_init_by(M, "i")
to get -moptimize_result_display()- to report the robust standard errors in
the coefficient table.
--Jeff
[email protected]
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--
__________________________________
Klaus Pforr
MZES AB - A
Universität Mannheim
D - 68131 Mannheim
Tel: +49-621-181 2801 (nachmittags)
fax: +49-621-181 2803
URL: http://www.mzes.uni-mannheim.de
Besucheranschrift: A5, Raum A312
__________________________________
*
* 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/