I believe you need to set it up as an ado file
Suppose your ml file is :
program mylogit_lf
args lnf Xb
replace `lnf' = -ln(1+exp(-`Xb')) if $ML_y1==1
replace `lnf' = -`Xb' - ln(1+exp(-`Xb')) if $ML_y1==0
end
Rather than typing:
. ml model lf mylogit_lf (foreign=mpg weight)
. ml max
You create an ado file out of this that can be used with -bootstrap- :
program mylogit
syntax varlist
gettoken y rhs : varlist
ml model lf mylogit_lf (`y'=`rhs')
ml max
end
In the end you will have two program -mylogit- which will call -mylogit_lf-
Now you can use -bootstrap-
. bootstrap _b: mylogit fore mpg weight
(running mylogit on estimation sample)
Bootstrap replications (50)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
.................................................. 50
<snip>
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Robert Town
> Sent: Monday, August 22, 2005 4:31 PM
> To: [email protected]
> Subject: st: Bootstrapping with ML
>
> I am posting another message about the same subject as below with
> additional information. Sorry for the additional posting on the same
> subject. However, I heard from a friend on this list that I should be
> more specific with the type of error message that I am getting.
>
> With Stata 8.2, the command
>
> >> bs "ml maximize" "_b[patient][age]"
>
> gives the following error message
>
> >> invalid syntax
> >> error in statistic: _b[patient][age]
> >> r(198);
>
>
> With Stata 9.0, the command
>
> >> bootstrap: ml maximize
>
> gives the following error message.
>
> >> variable maximize not found
> >> an error occurred when bootstrap executed mlogit
> >> r(111);
>
> If anybody knows how to bootstrap maximum likelihood, I would really
> appreciate hearing from you.
>
>
> My earlier message:
>
> > I used the Stata maximum likelihood (ml) routine to maximize a
> > linear-form (lf) likelihood function that I wrote, using Stata 9.0
> > SE. The standard errors that Stata is reporting look off, so I am
> > trying to bootstrap the maximum likelihood routine to obtain more
> > robust standard errors.
> >
> > I am not sure how to bootstrap the maximum likelihood routine. I tried
> > "bs _b : ml maximize" but this gives an error message.
> >
> > Does anyone have any experience bootstrapping the maximum likelihood
> > routine for either Stata 8 or Stata 9? (I know that the bootstrap
> > routine changed from 8 to 9, which is why I mention this.) If so, I
> > would appreciate knowing how to do this.
> >
>
> Thanks again for your help
> ---
>
> Robert Town
> Associate Professor
> University of Minnesota
> School of Public Health
> Mayo Mail Code 729
> 420 Delaware St. SE
> Minneapolis, MN 55455
>
> 612-626-4683 (phone)
> 612-624-2196 (fax)
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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