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st: ml estimator behavior


From   "Gregory, Christian - ERS" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: ml estimator behavior
Date   Fri, 10 Jan 2014 11:26:22 +0000

Hi All,

I  have written an .ado file for an ml estimator-a semi-ordered bivariate probit. But it behaves a little strangely.
1.      When I run it in lf0 mode (using numerical gradient and Hessian) it converges fine.
2.      When I use the gradient that I've written in debug mode, on the first iteration the gradient is always spot on (mreldif on the order of 1e-3 or 1e-4), but things diverge after that.
3.      When I run it in lf1 mode, it gets backed up very near the optimizing log likelihood value and won't converge.

My question is this: is this behavior most likely due to there being an error in user-written gradient, or to the fact that user written gradient and the numerial Hessian don't play well together? Or could it be something else?

Thanks for any help.

All best,
Christian





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