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From |
Olivier Francois <ofrancois@arec.umd.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: problem initial values ml with lf0 vs. lf |

Date |
Wed, 28 Nov 2012 17:13:01 +0000 |

Hi, I have coded a likelihood function I need to maximize in stata. I first coded it with lf, but it was having problems converging. So I decided to try lf1. In the process I was having trouble, so decided to first go to using lf0. I am having a problem with lf0, however, that stata doesn't find feasible initial values for the function. However, it is finding feasible values and manages to evaluate the likelihood function with lf. I tried to find info online but couldn't find anything. Anybody would have an idea of what is going on? Is there a mistake in how I coded the lf0 function? Below the code, first for the lf version and then for the lf0. Thank you very much for the help, //Generating the data clear all set more off webuse sysdsn1, clear gen cens = 0.1*age + 0.5*male + rnormal() sum cens, detail gen heck = cens <= `r(p75)' clonevar y = insure replace y = . if heck == 0 global R = 50 gen rep0 = heck == 0 gen rep1 = y==1 if y <. & heck == 1 // base outcome gen rep2 = y==2 if y <. & heck == 1 gen rep3 = y==3 if y <. & heck == 1 global x0 "rep0" global y1 "rep1" global y2 "rep2" global y3 "rep3" //random elements: matrix p = (7) mdraws, neq(1) draws($R) prefix(ed) primes(p) burn(10) forval i = 1/$R { global ed_`i' "ed1_`i'" } ******************************** //LIKELIHOOD FUNCTION, lf capture program drop my_ll program define my_ll version 11.2 args lnf xgam tau xb1 xb2 sig1 sig2 tempvar tt1 tt2 tt3 sp0 sp1 sp2 sp3 gen double `tt1' = 0 gen double `tt2' = 0 gen double `tt3' = 0 gen double `sp0' = 0 gen double `sp1' = 0 gen double `sp2' = 0 gen double `sp3' = 0 quietly { forval i = 1/$R { replace `tt1' = exp(`xb1' + `sig1'*$ed_`i') replace `tt2' = exp(`xb2' + `sig2'*$ed_`i') replace `tt3' = `xgam' + `tau'*$ed_`i' replace `sp0' = `sp0' + normal(-`xgam' - `tau'*$ed_`i') replace `sp1' = `sp1' + 1/(1 + `tt1' + `tt2')*normal(`tt3') replace `sp2' = `sp2' + `tt1'/(1 + `tt1' + `tt2')*normal(`tt3') replace `sp3' = `sp3' + `tt2'/(1 + `tt1' + `tt2')*normal(`tt3') } replace `lnf' = $x0*ln(`sp0'/$R) + $y1*ln(`sp1'/$R) + $y2*ln(`sp2'/$R) + /// $y3*ln(`sp3'/$R) } end xi: ml model lf my_ll (xgam: heck = age i.male) /tau /// (xb1: y = age i.male nonwhite i.site) (xb2: y = age i.male nonwhite i.site) /// /sig1 /sig2 /// , technique(nr) ******************************** //LIKELIHOOD FUNCTION, lf0 capture program drop my_ll1 program define my_ll1 version 11.2 args todo b lnf //Generating the variables tempvar xgam tau xb1 xb2 sig1 sig2 mleval `xgam' = `b', eq(1) mleval `tau' = `b', eq(2) scalar mleval `xb1' = `b', eq(3) mleval `xb2' = `b', eq(4) mleval `sig1' = `b', eq(5) scalar mleval `sig2' = `b', eq(6) scalar quietly { //Generating the likelihood function tempvar tt1 tt2 tt3 sp0 sp1 sp2 sp3 gen double `tt1' = 0 gen double `tt2' = 0 gen double `tt3' = 0 gen double `sp0' = 0 gen double `sp1' = 0 gen double `sp2' = 0 gen double `sp3' = 0 forval i = 1/$R { replace `tt1' = exp(`xb1' + `sig1'*$ed_`i') replace `tt2' = exp(`xb2' + `sig2'*$ed_`i') replace `tt3' = `xgam' + `tau'*$ed_`i' replace `sp0' = `sp0' + normal(-`xgam' - `tau'*$ed_`i') replace `sp1' = `sp1' + 1/(1 + `tt1' + `tt2')*normal(`tt3') replace `sp2' = `sp2' + `tt1'/(1 + `tt1' + `tt2')*normal(`tt3') replace `sp3' = `sp3' + `tt2'/(1 + `tt1' + `tt2')*normal(`tt3') } mlsum `lnf' = $x0*ln(`sp0'/$R) + $y1*ln(`sp1'/$R) + $y2*ln(`sp2'/$R) + /// $y3*ln(`sp3'/$R) } end xi: ml model lf0 my_ll1 (heck = age i.male) () /// (y = age i.male nonwhite i.site) (y = age i.male nonwhite i.site) /// () () /// , technique(nr) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

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