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From |
Carlotta Schuster <schuster.carlotta@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: st: nl command - error#130 expression too long |

Date |
Tue, 12 Feb 2013 16:27:20 +0100 |

Thank you Maarten. I have been exploring the ml command, with which I think I should be able to solve my problem. I am following Gould, Pitblado and Poi's Maximum Likelihood estimation with Stata, but I am unable to implement my problem correctly. I will try to describe the problem here. My model is the following (I omit subscripts hoping it is clear enough without them): Y = alpha + beta1*A(lambda)+beta2*X2+...+beta15*X15+ error Where y is a discrete choice variable and I want to estimate alpha, beta1,..., beta15 and LAMBDA. Here is where problem comes from, since A(lambda) is a non-linear function and I want to estimate lambda jointly with the rest of the parameters. If I set a particular value for lambda the model becomes a regular probit which I can easily estimate with Stata's probit command, but as I said, I also want to estimate lambda. In particular A(lambda) takes the following form: A(lambda) = sumatory(k=1 to k=age-1) weight(k,lambda)*Return_T-k And weight(k, lambda) is a non-linear function of lambda which also includes a sumatory and the age variable). Any ideas on how this could be program using the ml command? My tries so far have led me to the following program, where I create the A(lambda) variable inside the program using one of the parameters to be estimated. But this does not work. capture program drop nlprobitlf program nlprobitlf version 11 args todo b lnfj tempvar w w_den N a local N = _N gen w_den = 0 gen w = 0 forvalues i = 1(1)`N' { local a = age-1 in `i' forvalues y = 1(1)`a'{ replace w_den = w_den + (age-`y')^`b'[1,4] in `i' } forvalues z = 1(1)`a'{ replace w = w + ((age-`z')^`b'[1,4])*rets`z'/w_den in `i' } } quietly generate double `xb' = `b'[1,1]+`b'[1,2]*w+`b'[1,3]*income quietly replace `lnfj' = lnnormal(`xb') if ($ML_y1 == 1) quietly replace `lnfj' = lnnormal(-1*`xb') if ($ML_y1 == 0) end Best, Carlotta * * 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/

**Follow-Ups**:**Re: Re: st: nl command - error#130 expression too long***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: nl command - error#130 expression too long***From:*Carlotta Schuster <schuster.carlotta@gmail.com>

**Re: st: nl command - error#130 expression too long***From:*William Buchanan <william@williambuchanan.net>

**Re: st: nl command - error#130 expression too long***From:*Carlotta Schuster <schuster.carlotta@gmail.com>

**Re: st: nl command - error#130 expression too long***From:*"Brian P. Poi" <bpoi@stata.com>

**Re: st: nl command - error#130 expression too long***From:*Carlotta Schuster <schuster.carlotta@gmail.com>

**Re: st: nl command - error#130 expression too long***From:*Maarten Buis <maartenlbuis@gmail.com>

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