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st: missing value problem in ml estimation


From   Lian Jian <ljian@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: missing value problem in ml estimation
Date   Sat, 7 Jan 2006 02:09:59 -0500

Hi Stata experts,

I have a rather weird problem that has been troubling me for quite a
while. I'd highly appreciate it someone could give me some
suggestions.

I was using "lf" method to do an ml estimation with my own evaluator
(likelihood function). I am using the default modified Newton-Raphson
algorithm.  In each of my observation, there are some variables with
missing values, but these variables do not appear in my likelihood
function. In other words, theoretically these missing values should
not matter. I have tried using "missing" option in my model command,
which worked fine.

However, I also tried coding the missing values as different numerical
numbers, like 2 or 999999999. Surprisingly, I have gotten different
answers by coding the missing values differently, which is utterly
odd. As those missing values should not enter my likelihood function
at all.

Does anybody have an explanation?

Thanking you in advance,
Lian

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