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RE: st: nonlinear constraints


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: nonlinear constraints
Date   Wed, 14 Feb 2007 12:32:54 -0000

Just looking at this, I see scope for some simplifications: 

program define pplogit
          tempvar theta
          version 6
          args lnf theta1 theta2 theta3
          gen double `theta' = `theta1' + `theta3' + (`theta2'*`theta3')
          quietly replace `lnf' = ln(exp(`theta')/(1+exp(`theta'))) if $ML_y1==1
          quietly replace `lnf' = ln(1/(1+exp(`theta'))) if $ML_y1==0
end

In the line 

          quietly replace `lnf' = ln(exp(`theta')/(1+exp(`theta'))) if $ML_y1==1

the log of a ratio is the difference of the logs 

	= ln(exp(`theta')) - ln(1 + exp(`theta')) if $ML_y1 == 1

but then the first term simplifies too:

	= `theta' - ln(1 + exp(`theta')) if $ML_y1 == 1

A similar story below:

          quietly replace `lnf' = ln(1/(1+exp(`theta'))) if $ML_y1==0

	= ln(1) - ln(1+exp(`theta')) if $ML_y1==0	
	= - ln(1+exp(`theta')) if $ML_y1==0	

Check my algebra and code, and I don't know how much difference it makes
if correct.

Nick 
[email protected] 

Richard Williams
 
> At 06:11 AM 2/14/2007, Maarten buis wrote:
> >--- Val�rie Orozco:
> > > I also want to impose nonlinear constraints and I don't find
> > > any way to do it.
> >
> >The only way to impose non-linear constraints in Stata is to
> >write your own -ml- program in which the constraint is hard
> >coded. An example of such a program can be found in the appendix
> >of (Hauser and Andrew 2006), though it has some bad programming
> >style, especially doing some intermediate calculations by
> >creating a variable that is a float and not a double. These
> >models tend to have a pretty hard time converging, and appear to
> >be particularly sensitive to loss of precision in intermediate
> >calculations.
> 
> As Maarten notes, the program printed in the 
> Hauser and Andrew paper is sub-optimal because it 
> does not use double precision.  Part of their code is
> 
> program define pplogit
> tempname theta
> version 6
> args lnf theta1 theta2 theta3
> gen `theta' = `theta1' + `theta3' + (`theta2'*`theta3')
> quietly replace `lnf' = ln(exp(`theta')/(1+exp(`theta'))) if
> $ML_y1==1
> quietly replace `lnf' = ln(1/(1+exp(`theta'))) if $ML_y1==0
> end
> 
> 
> If anyone is using it, I've found that this 
> relatively simple tweak makes it run much more 
> quickly and (presumably) accurately.
> 
> program define pplogit
>          tempvar theta
>          version 6
>          args lnf theta1 theta2 theta3
>          gen double `theta' = `theta1' + `theta3' + 
> (`theta2'*`theta3')
>          quietly replace `lnf' = 
> ln(exp(`theta')/(1+exp(`theta'))) if $ML_y1==1
>          quietly replace `lnf' = ln(1/(1+exp(`theta'))) if $ML_y1==0
> end

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