st: simulate maximum likelihood estimation--where to construct the random variables

["Jun Xu" <mystata@hotmail.com>]

A while ago, Professor Stephen P. Jenkins and Arne Uhlenforff had exchanges 
on this:

Arne Uhlenforff <auhlendorff@diw.de> wants to estimate a MNL model with a 
random intercept using simulated ML (rather than using -gllamm-).

**********
I haven't looked at your program in detail, but one thing that strikes me is 
that I think you are not treating the pseudo-random uniform draws correctly. 
You want 50 replications/draws per ML iteration, but are creating them anew 
every iteration -- you shouldn't. They should be created just once. (See 
e.g. the gory details of the code underlying -mvprobit- or associated SJ 
article.) I don't know if this is having knock-on effects elsewhere.

good luck
Stephen
***********

I am also trying to write some codes on simulated ml as practice. I did it 
in two ways, a first method is to generate 100 random variables outside the 
loop as below; a second method is to create `ed`i' (the random variable) 
anew in each iteration.

Method 1:
    forval i = 1/100   {
       tempname ed`i'
       gen double `ed`i'' = ...whatever ways to generate the random 
variable
    }

    qui forval i = 1/100 {
        replace `sp'= `sp' * (invlogit(`xb' + `ed`i'')) if $ML_y1 == 1
        replace `sp'= `sp' * (invlogit(-(`xb' + `ed`i''))) if $ML_y1 == 0
    }

  qui replace `lnf' = ln(`sp')

Method 2:
    forval i = 1/100   {
       tempname ed`i'

    }

    qui forval i = 1/100 {
       gen double `ed`i'' = ...whatever ways to generate the random 
variable
        replace `sp'= `sp' * (invlogit(`xb' + `ed`i'')) if $ML_y1 == 1
        replace `sp'= `sp' * (invlogit(-(`xb' + `ed`i''))) if $ML_y1 == 0
    }

  qui replace `lnf' = ln(`sp')

Strangely enough Method 1 will converge and Method 2 will never converge. I 
am not sure if this is what Professor Jenkins talked about and why it is so? 
I will appreciate any thoughts on this.

Jun Xu
Ph.D. Candidate
Department of Sociology
Indiana University at Bloomington

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