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RE: st: a problem on convergence of mle


From   "Maarten Buis" <[email protected]>
To   <[email protected]>
Subject   RE: st: a problem on convergence of mle
Date   Wed, 18 Oct 2006 10:23:38 +0200

Jian Zhang:
It seems that you have faithfully copied equation 11 to `lnf', however I could 
not find where `g' came from. 

One simplification that could make it easier for Stata to find the maximum is 
possible: -1/2*ln((`sigma')^2) = -1/2*2*ln(`sigma') = -ln(`sigma')

If you are confident the likelihood equation is correct, than using the 
difficult option when calling -ml maximize- can sometimes help. See 
-help maximize- for more on this option.

HTH,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------

--- Jian Zhang wrote:
My loglikelihood function comes from equation 11 of the paper by Carroll,
Dynan and Krane in Review of Economics and Statistics 85(3) 2003,
Here is the program I wrote for the loglikelihood function for equation 11 in their paper.

capture program drop transform1
program transform1
        version 9.2
        args lnf xb sigma theta
        tempvar g
        quietly {
                gen double `g'=(ln(`theta'*$ML_y1+sqrt((`theta')^2*($ML_y1)^2+1)))/`theta'
                replace `lnf'=-1/2*ln((`sigma')^2)-1/2*1/((`sigma')^2)*(`g'-`xb')^2 ///
                -1/2*ln(1+(`theta')^2*($ML_y1)^2)
        }
end     
ml model lf transform1 (dependent variable=independent variable ....) /sigma /theta, robust
cluster(groupvar)
ml maximize

When I used the whole sample, the loglikelihood didn't converge.  But when I used a subsample, 
it in fact converged.  Thus it seems to me that the log likelihood function is fine.


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