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From |
"Jun Xu" <[email protected]> |

To |
[email protected] |

Subject |
RE: st: RE: simulated maximum likelihood estimation |

Date |
Mon, 09 May 2005 17:06:01 -0500 |

Nick,

Thanks a lot as always! What I am trying to do is to estimate a simulated maximum likelihood logit models. In logit models,

eta = x'b , where eta = ln(p/1-p), and based on soc theories, I suspect

eta = x'b + error, where error is a positively valued disturbance term (say expotentially distributed). Because there is probably no closed form solution, I need to turn to simulated maximum likelihood estimation. That is, in the codes I provided, I try to add an error (expotentially distributed with mean of 5) to x'b, repeat this process for 100 times, then averge them out and we get simulated likelihood (use expectation to approximate the integral, or to integrate out that disturbance term). Then I use ml to maximize the function.

I tried to dummy up mvprobit_ll.ado file, in which they kind of created # of replication times of variables like:

forval i = 1/$S_MLE_M {

gen double `d`i'' = 0

gen double `sp`i'' = 0

gen double `arg`i'' = 0

gen double `k`i'' = 2*``i''-1

}

...

...

...

replace `sp`i'' = normprob((`arg`i'')/`c`i'`i'')*`sp`j''

...

Jun Xu

Ph.D. Candidate

Department of Sociology

Indiana University at Bloomington

http://mypage.iu.edu/~junxu/home

_________________________________________________________________From: "Nick Cox" <[email protected]> Reply-To: [email protected] To: <[email protected]> Subject: RE: st: RE: simulated maximum likelihood estimation Date: Mon, 9 May 2005 21:18:25 +0100 As I understand it, you don't need 200 temporary variables to do what you want, as 2 will suffice. Thus your code, at a hasty hack, seems to boil down to this. I would still recommend building up the log likelihood as a sum of logs, not as a product to be logged later. I don't understand what you are trying to do, so can't help further. set trace off set more off cap program drop my_ll program my_ll version 8.2 args lnf xb tempname b sp0 sca `b' = 5 tempvar ed sp gen double `sp' = 1 gen double `ed' = 1 qui forval i = 1/100 { replace `ed' = -ln(uniform()) * `b' replace `sp'= `sp' * (invlogit(`xb' + `ed')) if $ML_y1 == 1 replace `sp'= `sp' * (invlogit(-(`xb' + `ed'))) if $ML_y1 == 0 } qui replace `lnf' = ln(`sp') end Nick [email protected] Jun Xu > Sorry for that mistake. The following is a revised version. > Still encounter > difficulty calculating numerical derivatives. I don't think it's data > problem. I tried to look into mvprob_ll.ado by Dr. Cappellari and Dr. > Jenkins, and I am stuck there. No one is responsible for > solving my problem, > except myself; however, I do need some even slight hint to > get me through. > > ******************************** > set trace off > set more off > cap program drop my_ll > program my_ll > version 8.2 > args lnf xb > tempname b sp0 > sca `b' = 5 > > forval i = 1/100 { > tempname ed`i' like`j' sp`i' > gen double `sp`i'' = 0 > } > > gen double `sp0' = 1 > > qui replace `lnf' = 0 > forval i = 1/100 { > loc j = `i' - 1 > qui gen double `ed`i'' = -ln(uniform())*`b' > qui replace `sp`i''= `sp`j''*(invlogit( > `xb'+`ed`i'')) if > $ML_y1 == 1 > qui replace `sp`i''= > `sp`j''*(invlogit(-(`xb'+`ed`i''))) if > $ML_y1 == 0 > } > > qui replace `lnf' = ln(`sp100') > end > > use binlfp2.dta, clear > ml model lf my_ll (lfp = k5 k618 age), technique(nr bhhh dfp bfgs) > ml search > ml maximize > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**References**:**RE: st: RE: simulated maximum likelihood estimation***From:*"Nick Cox" <[email protected]>

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