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RE: st: Gausshermite Ado file and ML program evaluator


From   "Guillaume Frechette" <gurst1@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Gausshermite Ado file and ML program evaluator
Date   Mon, 30 Jan 2006 19:26:28 +0000

You could take a look at reoprob, it has an ado file to do gausshermite integration and uses it in an ml optimization. Good luck.

g



From: Óscar Lourenço <osl@fe.uc.pt>
Reply-To: statalist@hsphsun2.harvard.edu
To: <statalist@hsphsun2.harvard.edu>
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. Lourenço




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