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firstname.lastname@example.org (Jeff Pitblado, StataCorp LP)
Mon, 24 Jan 2011 14:23:39 -0600
Christian Gregory <email@example.com> has a couple of questions about
output in the iteration log from -ml- when the -showtolerance- option is
> I'm using ml to estimate a model.
> 1. I'm using <showtolerance> option: the output reports "ptol" and
> "vtol." Do these refer to difference in likelihood or parameter
> estimates? I cannot find reference to them in any of the manuals.
> 2. In computing the scaled gradient (g()*H*g()'), how does Stata compute
> the Hessian? I'm using an lf1 type estimator: does it compute the
> Hessian numerically from the gradients that I have written? Or does it
> compute them numerically from numeric gradients that it calculates?
The 'ptol' identifier refers to the relative difference compared to the
coefficient tolerance. The coefficient tolerance is specifed via -ml-'s
The 'vtol' identifier refers to the relative difference compared to the value
tolerance (also known as the log-likelihood tolerance for -ml-). The
log-likelihood tolerance is secified via -ml-'s -ltolerance()- option.
For an -lf1- evaluator, -ml- computes the Hessian matrix by taking numeric
derivatives of the gradient resulting from the scores returned by the -lf1-
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