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From |
jpitblado@stata.com (Jeff Pitblado, StataCorp LP) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: error with optimize(), d1-d2 evaluators and bhhh technique |

Date |
Thu, 05 Dec 2013 10:49:59 -0600 |

Christophe Kolodziejczyk <ck.statalist@gmail.com> is trying to use -technique(bhhh)- with evaluator type d1: > I've tried to estimate a linear regression model by MLE. I have used > Mata and the optimize() routine. Furthermore I have tried to use the > BHHH algorithm, but the program failed, as I got the following error > message > > type d1 evaluators are not allowed with technique bhhh > r(111); > > I do not understand, why I got this error message. The documentation > mentions that you cannot use BHHH with a d0, since the hessian is > based on the gradient of the likelihood function, which has to be > computed analytically. Any idea what I am doing wrong or what i am > missing? > > I have included the code below. The program works with technique nr > (but strangely not with BFGS, since it does not find an optimum). The BHHH technique needs the observation level contributions to the gradient matrix, thus cannot work with the any of the d0, d1, or d2 evaluator types. Christophe will need to change the evaluator to conform to a gf0, gf1, or gf2 evalautor type. Here is what I did to Christophe's code to make that happen: ***** BEGIN: clear all set matastrict on mata: nobs=100000 a=.25 b=0.5 one=J(nobs,1,1) rseed(10101) x=invnormal(uniform(nobs,1)) v=invnormal(uniform(nobs,1)) y=a:+x*b+v z=one,x void mylnf( real scalar todo, real rowvector p, real matrix x, real colvector y, real colvector lnf, real matrix g, real matrix H) { real scalar nobs real scalar k real vector beta real scalar lsigma real scalar sigma real vector u nobs = rows(x) k = cols(x) beta = p[.,(1..k)]' lsigma = p[1,k+1] sigma = exp(lsigma) u = (y-x*beta)/sigma lnf = -lsigma:-0.5*u:^2 if (todo) { g = J(nobs,k+1,0) g[.,1..k] = u:*x/sigma g[.,k+1] = -1 :+ u:*u if (todo > 1) { H[1..k,1..k] = -cross(x,x)/(sigma^2) H[k+1,k+1] = -2*cross(u,u) H[k+1,1..k] = cross(u,x) _makesymmetric(H) } } } S=optimize_init() optimize_init_evaluator(S, &mylnf()) optimize_init_evaluatortype(S, "gf1") optimize_init_params(S, runiform(1,3)) optimize_init_argument(S,1,z) optimize_init_argument(S,2,y) optimize_init_technique(S,"bhhh") p=optimize(S) optimize_result_params(S) optimize_result_V(S) end ***** END: --Jeff jpitblado@stata.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: error with optimize(), d1-d2 evaluators and bhhh technique***From:*Christophe Kolodziejczyk <ck.statalist@gmail.com>

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