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st: constrained parameter in maximum likelihood estimation


From   "Jun Xu" <mystata@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: constrained parameter in maximum likelihood estimation
Date   Wed, 24 Sep 2003 11:44:03 -0500

Stata Listers:

I have a programming question using ml command: how to contrain some parameter to be estimated within certain range, for example, some probabilities [0,1]. One way that I can think of is to do some logit transformation like exp(p)/exp(1+exp(p)) and let ml freely estimates p. However, it is hard to get its standard error except using the delta method, which is not very accurate. Is there way in Stata, I can constrain the value of p, while at the same time direct get the asymptotic standard error without using any transformation or delta method? Thanks a lot.

Jun Xu
Doctoral Student
Department of Sociology
Indiana University at Bloomington

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