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From |
Gordon Burtch <gburtch@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Reversed coefficient sign for exponential MLE vs. ereg |

Date |
Fri, 27 Jan 2012 18:13:40 -0500 |

Hello, I am trying to implement the ereg (exponential regression) estimator using ML, and am encountering something odd. I have written a .do file as follows... program define myexponential version 10.0 args lnf x local lambda = exp(`x') quietly replace `lnf' = ln(`lambda') - `lambda'*$ML_y1 end Maximizing a constant only model with this likelihood function produces a coefficient estimate that matches with that obtained using the ereg command. However, the sign on the coefficient is reversed for some reason. I noticed as well that the log-likelihood is much different (-765.96 versus -1607.53). Does anyone have an idea as to what might be causing this? If I invert `x' when defining lambda (i.e., lambda = exp(-`x')), then the correct coefficient is obtained (though the difference in LL between ereg and my implementation is still quite different). Any help is appreciated! Regards, Gord Burtch * * 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/

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