I have a likelihood that meets the method -lf-
observation-by-observation form requirements, and I want to get access
to the derivatives matrices, i.e., the components of the -robust-
matrix estimator. Is that possible within -lf- framework, or do I need
to re-write all of this in -d2-... which is feasible, but of course
cumbersome as things always are with -d*- methods? In ml_max.ado code,
I see matrices $ML_CT and $ML_V, but these rather seems to be the
constrained VCE matrix. -ml_score- computes the variables for the
scores, but I need -mlmatsum- results out of that, and that is a
built-in command that I cannot hack. -ml_elf- deals with $ML_g and
$ML_V matrices, and that seems to be the things I need, but I am not
that sure. I couldn't properly find where the -robust- option is used
-- $ML_vce is set in -ml_model-, but I could only find a reference to
it in -ml_query-. -ml_max- makes a call to -_robust-, but again that's
a built-in command; I sort of understand what it does, but again I
cannot get into the guts of it. -ml_clear- deletes all of those
matrices, so I would need to step in somewhere before that happens --
it looks like -ml_hold- is doing something like that; or I can
probably -ereturn matrix- them -- but again I need the internal $ML_*
names of the matrices to do that...
Is this described in the 3rd edition of [ML] at all?
Probably I can do what I want in about five to ten lines of code that
uses a lot of undocumented -ml- engine tricks. If Stata Corp is
unwilling to go into this technical stuff on the list, I can ask
techsupport@ privately or whatever the proper way for that might be.
--
Stas Kolenikov
http://stas.kolenikov.name
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