From: Jenkins S P <[email protected]>
Reply-To: [email protected]
To: [email protected]
Subject: st: simulated likelihood again
Date: Mon, 29 Aug 2005 12:08:06 +0100 (BST)
On Mon, 29 Aug 2005, statalist-digest wrote:
Date: Sun, 28 Aug 2005 09:42:23 -0500
From: "Jun Xu" <[email protected]>
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 <[email protected]>
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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