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From |
"Ben Spong" <bspong.stata@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Maximum Likelihood problem |

Date |
Sat, 8 Dec 2007 15:13:05 +0000 |

Hi everyone, I'm trying to write a maximum likelihood function for a given model. The specification is the following: - If y<0: LN[1/SQRT(2*PI()*Sigma_hat^2)]-[(1/(2*Sigma_hat^2)]*(Y+Alpha_1-Beta_hat*X)^2 - If y>0: LN[1/SQRT(2*PI()*Sigma_hat^2)]-[1/(2*Sigma_hat^2)]*(Y+Alpha_2-Beta_hat*X)^2 - If y=0: LN[NORMSDIST((Alpha_2-Beta_hat*X)/Sigma_hat)-NORMSDIST((Alpha_1-Beta_hat*X)/Sigma_hat)] Alpha_1 must be <=0, Alpha_2 must be >=0, and Beta_hat>=0. The objective is to obtain, mainly, Alpha_1 and Alpha_2. I was able to program this in Excel (using solver), but I can't do this in Stata. The program I've written in Stata is the following (which, for obvious reasons, isn't working): program mymlprog version 10.0 args y x quietly replace `y' = ln(1/sqrt(2*_pi*Sigma_hat^2))-((1/(2*Sigma_hat^2))*(`y'+Alpha_1-Beta_hat*`x')^2 if $ML_y1 <0 quietly replace `y' = ln(normal((Alpha_2-Beta_hat*`x')/Sigma_hat)-normal((Alpha_1-Beta_hat*`x')/Sigma_hat)) if $ML_y1 == 0 quietly replace `y' = ln[1/sqrt(2*_pi*Sigma_hat^2)]-(1/(2*Sigma_hat^2))*(`y'+Alpha_2-Beta_hat*`x')^2 if $ML_y1 > 0 end My problems are: - How can I use Sigma_hat as a component of my model; - How do I get Alpha_1 and Alpha_2. If anyone has an idea at least of how to start, I would be really grateful! Best, B. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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