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From |
"FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <[email protected]> |

To |
"'[email protected]'" <[email protected]> |

Subject |
st: RE: Derivatives at different parameter values |

Date |
Wed, 24 Mar 2004 09:00:49 -0600 |

```
John - Let's see if I understand your question. You have some function
f(th_1, th_2,...th_n) and you want Stata to calculate df/dth_k at particular
values of th_1, th_2,..,th_n.
If this is what you want, there is a way you can do it by setting up a fake
regression and using _testnl. Here's an example:
Suppose your function is (th_2)/(th_3) - exp(-th_1), and you want to
evaluate the partial derivatives of f at (th_1, th_2, th_3) = (2,3,6).
Set up a fake dataset and regression as follows:
.clear
.set obs 3
.gen temp=_n
.tab temp,gen(dum)
.gen y=2*dum1+3*dum2+6*dum3
.reg y dum1 dum2 dum3,noc
Then use -testnl- with the "g" option to save the matrix of partial
derivatives:
.testnl _b[dum2]/_b[dum3]-exp(-_b[dum1])=1,g(G)
The result of the test will be undefined (since the regression is a perfect
fit), but the matrix G will contain the partial derivatives you want.
In this example, df/dth_1 = exp(-th_1), df/dth_2 = 1/th_3 and df/dth_3 =
-th_2/(th_3)^2.
So the G matrix should contain exp(-2), 1/6 and -3/36.
If you want to implement this for ranges of parameter values, you would have
to incorporate this as part of a do-file.
Al Feiveson
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of J Page
Sent: Tuesday, March 23, 2004 2:17 PM
To: [email protected]
Subject: st: Derivatives at different parameter values
Hi,
How can one implement the numerical derivatives currently implemented in
Stata's ml maximizer in a setting outside outside of ml? I would like to
calculate numerical derivatives at given parameter values. The dydx function
does not appear to do this.
Thanks much.
John
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```

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