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st: -ml- method -gf0- with panel data


From   Arne Risa Hole <[email protected]>
To   statalist <[email protected]>
Subject   st: -ml- method -gf0- with panel data
Date   Thu, 30 Dec 2010 13:41:01 +0000

Dear all,

I was wondering if anyone has experience of using -ml- method -gf0-
with panel data likelihoods. Specifically I am wondering how to
correctly fill in the values of the temporary variable lnfj when a
group of observations have only one contribution to the likelihood.
What I have done so far is to fill in the last observation of each
group with the actual contribution to the likelihood and the other
observations with zeros. This seems to work well when the -group-
option is used to identify the panels but it looks somewhat inelegant.
Is there a better way to do this?

Thanks,
Arne

PS I know that I could use -moptimize- in Mata instead which would
avoid this problem but for various reasons I prefer to use -ml-.
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