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From |
"Brian P. Poi" <brian@poiholdings.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: ml maximize works if ml check is run first but hits a discontinuous region otherwise Poi TSP |

Date |
Fri, 06 May 2011 20:47:53 -0400 |

On 05/05/2011 11:58 PM, Alex Olssen wrote:

Dear Statlisters, I am in the process of reproducing the results from Berndt and Savin's 1975 Econometrica estimation of a singular system of equations with autoregressive errors in Stata using manual maximum likelihood. Poi's stata help desk articles have been of invaluable assistance. I have noticed something odd. For my estimation of model 7 in table 1 If I run the sequence ml model d0 ... ml check ml maximize everything runs fine and the results are similar to those in Berndt and Savin. If I run the sequence ml model d0 ... ml maximize Stata hits a discontinuous region. Any ideas what is going on here?

Also, for model 8, my maximum likelihood procedure in Stata reproduces Berndt and Savin's coefficients to only 2 decimal places - at the 3rd decimal place there are often differences. Standard errors are reproduced more accurately. Does anyone have any ideas what is happening here either? I have seen somebody reproduce one part of Berndt and Savin in TSP and their results were much closer - the paper was originally done in TSP. Kind regards, Alex

-- Brian Poi -- brian@poiholdings.com * * 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/

**Follow-Ups**:**Re: st: ml maximize works if ml check is run first but hits a discontinuous region otherwise Poi TSP***From:*Alex Olssen <alex.olssen@gmail.com>

**References**:**st: ml maximize works if ml check is run first but hits a discontinuous region otherwise Poi TSP***From:*Alex Olssen <alex.olssen@gmail.com>

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