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Re: st: FW: ML for logit/ologit


From   Fernando Rios Avila <f.rios.a@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: FW: ML for logit/ologit
Date   Wed, 16 Nov 2011 08:07:12 -0500

I just read you needed it to be between 0 and 3, so this should do
gen double `rho'=3* exp(`R')/(1+exp(`R'))

Just in case, the program will be bounded to 0-3, but the value you
will see in the program as result will not. you will need to use a non
linear transformation to obtain the actual value of "rho"
Check -nlcom- for that

On Wed, Nov 16, 2011 at 7:57 AM, Fernando Rios Avila <f.rios.a@gmail.com> wrote:
> Hi Thomas
> I cought the bug in your program.
> THe key is that because u are using a non linear combination of X u
> need to declare it in such a way that you can freely manipulate it on
> stata.
> Check the following code
>
> program drop logittest
> program define logittest
>
> args lnf b1 rho
> tempvar lng
> qui {
> gen double `lng' = ln(invlogit(`b1'*(($ML_y2^(1-`rho')-1)/(1-`rho'))))
> if $ML_y1==1
> replace `lng' =  ln(invlogit(-`b1'*(($ML_y2^(1-`rho')-1)/(1-`rho'))))
> if $ML_y1==0
> replace `lnf' = `lng'
> }
> end
>
> ml model lf logittest  (b1:y x=) (rho:), maximize
>
> for the rho to be bounded between 0 and 1 you can do the following
>
> program define logittest
>
> args lnf b1 R
> tempvar lng  rho
> qui {
> gen double `rho'=exp(`R')/(1+exp(`R'))
> gen double `lng' = ln(invlogit(`b1'*(($ML_y2^(1-`rho')-1)/(1-`rho'))))
> if $ML_y1==1
> replace `lng' =  ln(invlogit(-`b1'*(($ML_y2^(1-`rho')-1)/(1-`rho'))))
> if $ML_y1==0
> replace `lnf' = `lng'
> }
> end
>
> ml model lf logittest (y x=) (), maximize init(b)
> On Wed, Nov 16, 2011 at 7:23 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
>> Two completely separate points are bundled together here.
>>
>> 1. If your program declares that you are feeding it arguments, then those arguments must be supplied (unless you trap non-supply).
>>
>> 2. A parameter that must be bounded should be re-parameterised so that the bounds are respected. Some usual tricks are collected at
>>
>> http://www.stata.com/support/faqs/stat/interval-constraints.html
>>
>> logit(rho/3) is unbounded for 0 < rho < 3.
>>
>> I recommend very detailed study of the documentation on -ml- and the associated book from Stata Press when writing a first non-trivial -ml- program.
>>
>> Nick
>> n.j.cox@durham.ac.uk
>>
>> Thomas Murray (Department of Economics)
>>
>> This makes sense -  rho needs to be defined in the program.  I need rho to converge to a value that maximises the log likelihood.  What I want to do is set a range of possible values for rho (between zero and three specifically) and find a point estimate using ML.  Is this possible to define?
>>
>> Nick Cox
>>
>> You need to supply the right number of arguments too. Here it looks as if rho is undefined because you are not feeding the program with enough arguments.
>>
>>
>> *
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>>
>

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