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| From | Alex Olssen <alex.olssen@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: ml maximize works if ml check is run first but hits a discontinuous region otherwise Poi TSP |
| Date | Sun, 8 May 2011 10:46:11 +1200 |
Hi Brian, In fact the ml program converges after ml check but NOT after ml search. I am really unsure why. I haven't tried specifying initial values - I will do this though. I am aware of your 2008 article. I feel that nlsur is overly restrictive in terms of identification. Kind regards, Alex On 7 May 2011 12:47, Brian P. Poi <brian@poiholdings.com> wrote: > > > On 05/05/2011 11:58 PM, Alex Olssen wrote: >> >> Dear Statlisters, >> >> I am in the process of reproducing the results from Berndt and Savin's >> 1975 Econometrica estimation of a singular system of equations with >> autoregressive errors in Stata using manual maximum likelihood. >> >> Poi's stata help desk articles have been of invaluable assistance. >> >> I have noticed something odd. >> >> For my estimation of model 7 in table 1 >> >> If I run the sequence >> >> ml model d0 ... >> ml check >> ml maximize >> >> everything runs fine and the results are similar to those in Berndt and >> Savin. >> >> If I run the sequence >> >> ml model d0 ... >> ml maximize >> >> Stata hits a discontinuous region. >> >> Any ideas what is going on here? > > -ml- might be making use of random numbers in its search for initial values > when checking and maximizing your likelihood function. When you run -ml > check- before -ml maximize-, the first random number that -ml maximize- > would therefore be different than when you call -ml maximize- without having > called -ml check-. > > Have you tried using -ml search- before -ml maximize-? -ml search- does a > more thorough search for initial values than -ml maximize- does by itself. > Also, did -ml check- issue some kind of message indicating it was going to > call -ml search-? > >> >> Also, for model 8, my maximum likelihood procedure in Stata reproduces >> Berndt and Savin's coefficients to only 2 decimal places - at the 3rd >> decimal place there are often differences. >> Standard errors are reproduced more accurately. >> >> Does anyone have any ideas what is happening here either? I have seen >> somebody reproduce one part of Berndt and Savin in TSP and their >> results were much closer - the paper was originally done in TSP. >> >> Kind regards, >> >> Alex > > Have you tried specifying initial values? Getting different packages to > produce the same estimates with difficult problems can itself be a difficult > problem. You could try playing with different optimization techniques, > convergence criteria, etc., though that is no guarantee. I've found that > sometimes having a small dataset makes matching results even more difficult > than if the dataset were larger. > > One final thought: for estimating a system of nonlinear equations, even > singular systems, you might try using -nlsur- instead. It's much faster on > these problems. The reference manual entry for -nlsur- shows how to fit an > AIDS model, and my article from 2008 in the Stata Journal (v. 8 number 4) > shows how to replicate the results in my old helpdesk article using -nlsur-. > > -- Brian Poi > -- brian@poiholdings.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/ > * * 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/