st: simulated likelihood again

[Jenkins S P <stephenj@essex.ac.uk>]

On Mon, 29 Aug 2005, statalist-digest wrote:

> Date: Sun, 28 Aug 2005 09:42:23 -0500
> From: "Jun Xu" <mystata@hotmail.com>
> Subject: RE: st: maximum simulated likelihood
>
> Dear Professor Jenkins and other listers,
>
> 1. Thanks for correcting my incorrect terminology. I should use msl (maximum
> simulated likelihood)
> 2. So I would say that we HAVE to create those random variables outside the
> loop first, right?
> 3. With slight change in the last line, my new code now is
> *****************************
>     forval i = 1/100   {
>        tempname ed`i'
>        gen double `ed`i'' = -ln(uniform()) // just a very ad hoc way of
> creating random vars
>     }
>
>     qui forval i = 1/100 {
>         replace `sp'= `sp' * (invlogit(`xb' + `ed`i'')) if $ML_y1 == 1
>         replace `sp'= `sp' * (invlogit(-(`xb' + `ed`i''))) if $ML_y1 == 0
>     }
>
>     qui replace `lnf' = (ln(`sp')/100)
> ********************************
> One more question:
> I use simplest lf method. I am not quite sure why I need to have
>     "qui replace `lnf' = `lnf' + (ln(`sp')/100)" (say Option A) instead of
> "qui replace `lnf' = (ln(`sp')/100)" (say Option B). For Option A, I cannot
> get it converged. Option B converged. Regardless of the convergence, I am
> just wondering which one is right.
>
> Thanks a lot
> Jun Xu
Please re-read my last message.

On your (2), the answer was given last time. ("Outside" is the answer.)

On (3), ensure that your code does proper cross-draws averaging. Option B 
certainly appears not to do it. [Option A may not either -- I don't have 
the time to check.]

It is not "ad hoc" to create pseudo-random draws using the uniform() 
function.  It not immediately obvious to me, however, why you create 
`ed`i'' as minus the log of a uniform variate.

Stephen
=============================================
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester CO4 3SQ, UK
Phone: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
Survival Analysis Using Stata: 
http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/index.php
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