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Re: st: question with MLE and complex model
Jonathan,
The easiest thing to do is try the following:
fmm y x1 x2 x3, components(2) mixtureof(normal) search(on) prob(z1 z2 z3)
fmm y x1 x2 x3, components(3) mixtureof(normal) search(on) prob(z1 z2 z3) from(?)
If a 3-component model follows a 2-component model, it gets "smart" starting
values based on the parameters in the 2-component model.
If you prefer to use -from()-, enter parameter values (separated by spaces) in
the other they would appear in the output. Obviously this is hard to guess if
you've never seen any output from -fmm- so I recommend the "two-step" approach
first.
Best.
Partha
Jonathan Hanson wrote:
Partha,
Thank you for your suggestion. I've downloaded the fmm procedure and am
experimenting with it. One question: I get a message stating that I
should provide starting values, which appears to be done using the
from() option. What is the form with which starting values are provided?
For example, if I use:
fmm y x1 x2 x3, components(3) mixtureof(normal) search(on) prob(z1 z2
z3) from(?)
what replaces the question mark?
Many thanks!
Jonathan
On Jul 30, 2008, at 11:56 AM, Partha Deb wrote:
Jonathan,
It appears that the model you are trying to estimate (in principle) is
a finite mixture of 3 normal densities - your code is not quite that,
however. Unless you are sure yours is the model you want, I suggest
you estimate a standard finite mixture model for the problem you
describe. You can code that up yourself or use -fmm- . -findit fmm-
will get you to the link to install it.
Best.
Partha
Jonathan Hanson wrote:
Greetings,
I am working on an MLE procedure to use in situations where there may
be distinct, or at least mostly distinct, causal processes at work
for different parts of the sample. For example, suppose there are
three different states of the world, and the coefficients on key
explanatory variables vary across these states. Additionally,
suppose that there is a set of variables that determines
(probabilistically) the extent to which to a particular case falls
into each state.
In other words, I have three linear models: mod1, mod2, and mod3.
Also, I have a weighting function, similar to that used in
multinomial logit, that estimates a set of weights that sum to 1: p1
+ p2 + p3.
I am fairly new to ML programming, so I started with the ML version
of a standard linear regression (with adjustments to s_e suggested by
Gould and Sribney) and incorporated the three linear models with
their corresponding weighting functions. The trouble is, when I try
to estimate the model, Stata goes through thousands of iterations,
nearly all of which report "not concave". Convergence is achieved
only rarely, and it depends very much upon specification.
program define stage3ml
args lnf mod1 st1 mod2 st2 mod3 ctrls s_e
tempvar den p1 p2 p3
quietly gen double `den' = 1 + exp(`st1') + exp(`st2')
quietly gen double `p1' = exp(`st1')/`den'
quietly gen double `p2' = exp(`st2')/`den'
quietly gen double `p3' = 1/`den'
quietly replace `lnf'=ln(normalden(($ML_y1 - `p1'*`mod1' -
`p2'*`mod2' - `p3'*`mod3' - `ctrls')/exp(`s_e'))) - `s_e'
end
ml model lf stage3ml (mod1: y = x1 x2 x3) (p1: z1 z2 z3) (mod2: x1 x2
x3) (p2: z1 z2 z3) (mod3: x1 x2 x3) (ctrs: ) ()
Any advice on what steps I should next take would be greatly
appreciated!
Many thanks,
Jonathan Hanson
Assistant Professor of Political Science
Maxwell School of Citizenship and Public Affairs
100 Eggers Hall
Syracuse University
Syracuse, NY 13244
[email protected]
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
--
Partha Deb
Department of Economics
Hunter College
ph: (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/
Emancipate yourselves from mental slavery
None but ourselves can free our minds.
- Bob Marley
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
_______________________________________
Jonathan Hanson
Assistant Professor of Political Science
Maxwell School of Citizenship and Public Affairs
100 Eggers Hall
Syracuse University
Syracuse, NY 13244
[email protected]
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
--
Partha Deb
Department of Economics
Hunter College
ph: (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/
Emancipate yourselves from mental slavery
None but ourselves can free our minds.
- Bob Marley
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/