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| From | Klaus Pforr <kpforr@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: moptimize gf evaluator |
| Date | Thu, 18 Nov 2010 11:04:09 +0100 |
Thank you for your helpful answer! Klaus Pforr Am 16.11.2010 22:46, schrieb Jeff Pitblado, StataCorp LP:
Klaus Pforr<kpforr@googlemail.com> had a follow-up question related to -moptimize()- and the -gf- evaluator types:Thank you for extensive and helpful answer. I'm still waiting for my copy of the new edition of "ML with stata". And it is correct, that by adding the derivatives of the panel-level log likelihood with respect to the beta coefficients, I enable my evaluator to correctly handle the robust, cluster and svy options, isn't it? I understand the 2006 edition of "ML with stata" and the help files, that I need the observation level scores for that. I want to implement a modified conditional logit estimator, and I want it to handle the cluster option (robust and weights are not that important, but they seem to processable, once you specify the scores, which you need for the cluster option anyway). Therefore it seems necessary to implement the evaluator as a gf2 type and not as d2 type evaluator. I need the gradient and the hessian to gain speed and precision, as the likelihood has a computationally complex denominator.Yes, the -gf- evaluator types allow for robust, cluster, and -svy- options. In my previous post, change the line moptimize_result_display(M) to moptimize_result_display(M, "robust") to get the robust standard errors for the fitted model. Panels must be nested within clusters for -moptimize()- to compute clustered variances. There is currently a bug in how -moptimize()- performs the conformability check of the scores with the data/groups. This bug causes -moptimize_result_display(M, "robust")- to exit with a conformability error before it can report the coefficient table. We'll have this fixed in a future ado-file update; however, in the mean time, just change the call moptimize_init_by(M, panel) to moptimize_init_by(M, "i") to get -moptimize_result_display()- to report the robust standard errors in the coefficient table. --Jeff jpitblado@stata.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/
-- __________________________________ Klaus Pforr MZES AB - A Universität Mannheim D - 68131 Mannheim Tel: +49-621-181 2801 (nachmittags) fax: +49-621-181 2803 URL: http://www.mzes.uni-mannheim.de Besucheranschrift: A5, Raum A312 __________________________________ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/