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Re: st: problem 0 likelihood ml


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: problem 0 likelihood ml
Date   Fri, 16 Nov 2012 15:02:06 +0000

You are confusing two quite different ways of using -if-. See

FAQ     . . . . . . . . . . . . . . . . . . . . if command versus if qualifier
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  J. Wernow
        4/05    I have an if or while command in my program that
                only seems to evaluate the first observation.
                What's going on?
                http://www.stata.com/support/faqs/programming/
                if-command-versus-if-qualifier/

There may be other problems, but that's one.

Nick


On Fri, Nov 16, 2012 at 2:45 PM, Olivier Francois
<ofrancois@arec.umd.edu> wrote:
> Hi,
>
> I needed to create my own likelihood function and have been running into problems. I have been trying to use program and the ml commands, but there is something I must not do correctly.
>
> Since it wasn't working I went back to something simpler to make sure I was getting the commands right... A simple probit. I tried with my data but it wasn't working and so tried with some artificial data.
>
> Here is what I code and problems:
>
> //creating the data
> clear
> set more off
> set seed 12345
> set obs 1000
> matrix C = I(4)
> drawnorm z v e x, corr(C)
> replace z = sqrt(2)*z
> scalar a0 = 2
> scalar a1 = -1
> gen D = (a0 + a1*z > v)
> gen Y = 0.5 - 0.5*x + e
>
> //Probit model
> apture program drop myprobit
> program myprobit
>     version 11.2
>     args lnf xgam
>
>     quietly {
>
>     if $ML_y1 == 0 {
>         replace `lnf' = ln(normal(-`xgam'))
>     }
>
>     else if $ML_y1 == 1 {
>             replace `lnf' = ln(normal(`xgam'))
>     }
>     }
> end
>
>
> //first model tried
> ml model lf myprobit (xgam: D = z), vce(robust) technique(nr bhhh dfp bfgs)
> ml check
>
> /*I get the following error:
>        opt__eval_cycle():  3301  subscript invalid
>             opt__eval():     -  function returned error
>     _optimize_evaluate():     -  function returned error
>        _mopt__evaluate():     -  function returned error
>      mopt__check_test1():     -  function returned error
>       _moptimize_check():     -  function returned error
>             Mopt_check():     -  function returned error
>                  <istmt>:     -  function returned error
> */
>
> //second model tried
> ml model lf myprobit (xgam: D = z), vce(robust) technique(nr)
> ml check
>
> //This time, no subscript invalid error... ml check passes all the tests. Does anybody know why?
> //Please feel free to refer to online material, I couldn't find anything by myself.
>
> //Here I get another problem, however, with ml search
> ml search
>
> //initial:       log pseudolikelihood =          0
> //rescale:       log pseudolikelihood =          0
>
> //I get a value of 0. Sometimes the intital value is fine, but it goes to 0 when ml search does rescale sq (couldn't find what it is either). For example, with another data draw I get:
> //initial:       log pseudolikelihood = -10.211373
> //rescale:       log pseudolikelihood = -10.211373
> //rescale eq:    log pseudolikelihood =          0
> // I get it also using my own data. I don't understand why.
> //The direct stata probit command works fine.
>
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