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Re: st: to hijack the stata ml?


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: to hijack the stata ml?
Date   Tue, 16 Oct 2012 02:12:50 +0100

See http://www.stata.com/bookstore/maximum-likelihood-estimation-stata/index.html
for "a detailed document (really detailed) on the stata ml ado
package"

Chamberlain 1980: please see
http://www.stata.com/support/faqs/resources/statalist-faq/#others
(second paragraph)

Sorry, but I can't help on your specifics. Depending on your previous
experience of Stata programming, the task sounds somewhere between
very difficult and impossible.

Nick

On Tue, Oct 16, 2012 at 1:58 AM, Sun Yutao
<yutao.sun.statalist@outlook.com> wrote:

> I’m wondering if there is a way to “hijack” the stata ml command, sorry for using this word but I have a very big panel probit with fixed effects and lots of cross-sections to maximize (I know the incidental parameter problem and let’s don’t talk about that right now)
>
> What I’m thinking is a partitioned mle which I either have to set constraints on some of the parameter in every iteration (e.g. the leapfrog) or to use a different approach of updating the parameter vector (e.g. Chamberlain 1980)
>
> Both can be done, of course, but with problems: For the first method, the number of constraints are 1999 in stata se 12. I can put constraints in a matrix though, but it can be a huge matrix and it’s time consuming to operate it. For the second method, I can use mata to bypass the stata ml routine but then I think I will lose a lot features from the stata ml command, which I don’t really like.
>
> I'm wondering if there is a way to "hijack" (sorry for this ugly word again :) ) the stata ml so it computes the derivatives and hessian, and updates the parameter vector in my own way but does everything else conventionally.
>
> It will also be appreciated if someone can provide me a detailed document (really detailed) on the stata ml ado package, because I tried to read it but it's really complicated.

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