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How do I estimate a nonlinear model using ml?

Consider the model

y = f(x) + e

where y is the outcome, f(x) is a nonlinear form of covariate x, and e is the random error. The command nl will estimate the parameters of f(x) by using least squares. Here is an example:

. sysuse auto
(1978 automobile data)

. nl (rep78 = {b0}*(1-exp(-{b1}*headroom))), initial(b0 1 b1 0.1) nolog


      Source 
 
      SS            df       MS  
 
 
 
    Number of obs =         69
       Model 
 
  800.67379          2  400.336893
    R-squared     =     0.9235
    Residual 
 
  66.326214         67  .989943487
    Adj R-squared =     0.9212
 
 
 
    Root MSE      =    .994959
       Total 
 
        867         69  12.5652174
    Res. dev.     =   193.0865




       rep78 
 
 Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
 
 
 
         /b0 
 
   3.435331   .1604479    21.41   0.000     3.115075    3.755586
         /b1 
 
   1.947203   1.767421     1.10   0.275    -1.580584    5.474989

We can write an nl program to fit the same model. We may want to do this if we need to be able to fit the model with different variables.

program nlnexpgr, rclass

	version 18
	syntax varlist(min=2 max=2) if
	local lhs : word 1 of `varlist'
	local rhs : word 2 of `varlist'

	return local eq "`lhs'={b0=1}*(1-exp(-{b1=0.1}*`rhs'))"

end

This program will give the same results as we obtained above:

. sysuse auto, clear
(1978 automobile data)

. nl nexpgr : rep78 headroom, nolog


      Source 
 
      SS            df       MS  
 
 
 
    Number of obs =         69
       Model 
 
  800.67379          2  400.336893
    R-squared     =     0.9235
    Residual 
 
  66.326214         67  .989943487
    Adj R-squared =     0.9212
 
 
 
    Root MSE      =    .994959
       Total 
 
        867         69  12.5652174
    Res. dev.     =   193.0865




       rep78 
 
 Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
 
 
 
         /b0 
 
   3.435331   .1604479    21.41   0.000     3.115075    3.755586
         /b1 
 
   1.947203   1.767421     1.10   0.275    -1.580584    5.474989

Now let’s consider how we would fit the same model with ml, which uses maximum likelihood. We can change the equation into

e = y − f(x)

If we assume that the errors are distributed as N(0,σ²), the density function is as follows:

Then, the log-likelihood function will be

lnL = -0.5*ln(2*_pi) - ln(σ) - 0.5*e2/σ2
    = -0.5*ln(2*_pi) - ln(σ) - 0.5*(y-f(x))2/σ2

In our example, we have

f(x) = b0*(1-exp(-b1*x))

Considering the formula, we may treat b0 as a parameter and b1*x as the linear combination xb, which has no constant term. We also need to estimate another parameter, “sigma”, the standard deviation of the normal distribution.

program mlnexpgr
	version 18
	args lnf b1x b0 sigma
	tempvar res
	quietly gen double `res' = $ML_y1 - `b0'*(1-exp(-`b1x'))
	quietly replace `lnf' = -0.5*ln(2*_pi)-ln(`sigma')-0.5*`res'^2/`sigma'^2
end

. ml model lf mlnexpgr (b1: rep78 = headroom, nocons) (b0:) (sigma:)
  
. ml max
(output omitted)

                                                        Number of obs =     69
                                                        Wald chi2(1)  =   2.85
Log likelihood = -96.543274                             Prob > chi2   = 0.0912



       rep78 
 
 Coefficient  Std. err.      z    P>|z|     [95% conf. interval]
 
 
 
b1           
 
                                                                
    headroom 
 
   1.947203   1.152936     1.69   0.091    -.3125097    4.206915
 
 
 
b0           
 
                                                                
       _cons 
 
   3.435331   .1375282    24.98   0.000      3.16578    3.704881

sigma        
 
                                                                
       _cons 
 
   .9804333     .08346    11.75   0.000     .8168547    1.144012

The estimates we obtained from ml are close to those from the nl program. The estimated standard errors are a little different, but we know that they are from different algorithms.

We could extend the ml program to estimate robust variances with the vce(robust) option or with the vce(cluster clustvar) option.

. ml model lf mlnexpgr (b1:rep78=headroom,nocons) (b0:) (sigma:), vce(robust)

. ml max
 (output omitted)

                                                        Number of obs =     69
                                                        Wald chi2(1)  =   3.98
Log pseudolikelihood = -96.543274                       Prob > chi2   = 0.0462



             
 
               Robust                                           
       rep78 
 
 Coefficient  std. err.      z    P>|z|     [95% conf. interval]
 
 
 
b1           
 
                                                                
    headroom 
 
   1.947203   .9765424     1.99   0.046     .0332149    3.861191
 
 
 
b0           
 
                                                                
       _cons 
 
   3.435331   .1145494    29.99   0.000     3.210818    3.659843

sigma        
 
                                                                
       _cons 
 
   .9804333   .0743649    13.18   0.000     .8346808    1.126186

The robust estimation gives the same estimated coefficients, but it gives adjusted standard errors for the three parameters in this model. We may also apply this program for clustered data:

. ml model lf mlnexpgr (b1:rep78=headroom,nocons) (b0:) (sigma:), vce(cluster turn)