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Re: st: RE: lazy -ml-!


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: lazy -ml-!
Date   Thu, 9 Mar 2006 13:28:55 -0600

Alan,

Indeed, with all zeroes, the log likelihood is = . (as it should be in
my model). I tried it with my starting values, with Stata's random
search, whatever -- it is just going that way. It may have to do with
a constraint I am imposing -- I am fixing one of the parameters, and
for some reason Stata does not respect that in the random search
(which I think is a bug!!!), so when it switches from -ml search- to
-ml max-, it loses a few hundreds in the log-likelihood. That must
puzzle -ml-; it then takes regressively smaller steps trying to crawl
back to the nice value it had, and fails.

My previous experience with -ml- was that is was able to incorporate
the constraint successfully.

On 3/9/06, Feiveson, Alan H. (JSC-SK311) <alan.h.feiveson@nasa.gov> wrote:
> Stas - Have you tried changing your initial values? I believe if you
> don't specify them they default to being zero. If the log likelihood
> evaluated at all zeros has partials that are also zero, the procedure
> may not be able to find a place to go next.
>
> Al Feiveson
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas
> Kolenikov
> Sent: Thursday, March 09, 2006 12:50 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: lazy -ml-!
>
> A really strange thing is happenning with my -ml- programming. I wrote
> an -lf- program that passes -ml check-, however when it comes to the
> real -ml max-imization, it just does not make any steps (I am checking
> with -noi mat li $ML_b- in the whatever_ll.ado) -- and hence my program
> returns the same value of the likelihood, and hence -ml- exits with
> r(430) could not calculate numerical derivatives, flat or discontinuous
> region encountered. That is absolutely weird, it does not depend on
> starting values, search (which does make good steps imporving the
> likelihood), it just happens that way!
>
> Stata/SE 9.1 is up to date.
>
> . which ml
> C:\Stata9\ado\updates\m\ml.ado
> *! version 6.2.6  01jul2005
>
> . which ml_max
> C:\Stata9\ado\updates\m\ml_max.ado
> *! version 7.3.1  30jan2006
>
> Has there been anything drastic in the latest updates? I just won't
> venture digging into ml_max.ado code.
>
> --
> Stas Kolenikov
> http://stas.kolenikov.name
>
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--
Stas Kolenikov
http://stas.kolenikov.name

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