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st: Gausshermite Ado file and ML program evaluator


From   �scar Louren�o <[email protected]>
To   <[email protected]>
Subject   st: Gausshermite Ado file and ML program evaluator
Date   Mon, 30 Jan 2006 13:47:34 -0000

Dear StataListers 

In a Project that aims at analyzing a count data variable I am trying to
estimate a model where I have to evaluate a likelihood function that has an
integral without analytical solution.

The likelihood function is 
LOG_L = SUM( LOG(integral(truncated poisson*g(u)_du)), 
where g(u) is the  normal distribution with variance sigma^2. 
My goal is to maximize such likelihood function.   

To evaluate a single integral I can use gausshermite.ado, written by
Jean-Benoit Hardouin, and it works fine, however I am stuck in how to use
gausshermite.ado in a ML program evaluator
 
Do any of you have any suggestion about how to use gausshermite.ado file in
an ML program, in order to proceed with model estimation? 

Best regards

O. Louren�o




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