 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: question with MLE and complex model
Jonathan,
There are a number of likely reasons why starting values are not feasible.
1. If you have a small sample, it may be too ambitious to model the
probabilities as functions of covariates. You may simply be too close to a
boundary for some observations. What is your sample size?
2. Although Stata is quite good about handling scaling issues, scaling can
matter. If your z's are scaled very differently, that could be a source of
the problem.
What happens when you estimate 2 and 3 component mixtures without covariates
in the probabilities?
On your question about why your original effort fell short - obviously I don't
know for sure, but the likelihood you had written out was not the likelihood
for a mixture model - beyond that, I'm afraid I didn't look particularly hard
at the formulation.
Partha
Jonathan Hanson wrote:
Partha,
Thanks again for your help -- I really appreciate it. Your tip did help
me get up to a three-component model. I am not consistently able to do
so, however, especially when using variables to estimate the component
probabilities. When adding one of these variables, even to a
two-component model, Stata often reports that it cannot find feasible
values at the beginning of the estimation. Perhaps I need to supply my
own starting values?
Also, since I hope to learn how to use ml, I am still puzzling over why
my original effort is falling short. Are there some obvious things that
I should think about as I work on it?
Thanks!
Jonathan
On Jul 30, 2008, at 2:08 PM, Partha Deb wrote:
.
Correction, start here:
fmm y x1 x2 x3, components(2) mixtureof(normal) prob(z1 z2 z3)
fmm y x1 x2 x3, components(3) mixtureof(normal) prob(z1 z2 z3)
Partha Deb wrote:
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/
_______________________________________
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/