The EM algorithm might converge faster, that's all. You will get the
same estimates, although without the standard errors; they are the
pain in the lower back with the EM. If -fmm- works for you, there is
little reason to try and code the EM algorithm from scratch, unless
you'd be lucky to find an implementation floating around. Unlike the
general -ml-, the EM algorithm is problem-specific and depends on what
your missing data are. In -xtmixed-, the missing data are continuous
random effects, while in mixture models, the missing data are discrete
class indicators. The E-steps are entirely different in those two
problems.
2009/9/17 László Sándor <[email protected]>:
> Dear fellow statalisters,
>
> I am estimating a model where I assume that the dependent variable
> came from either of two classical normal linear models, with some
> probabilities for the one and the other. This is a finite mixture
> model, and I had some success with Partha Deb's -fmm- command.
>
> However, I heard it might be very much worthwhile to try the
> estimation using the EM algorithm, not standard (though fine-tuned á
> la Stata) ML. Before any more Google searches getting lost among
> latent class models and various related topics, I would ask you
> whether you happen to know a tool (or way) that can do this estimation
> using the EM algorithm.
>
> (I know that there are different software packages claiming to do
> this, but I would rather stick to Stata. Especially because Stata does
> EM for -xtmixed-, for instance, so maybe it is also easily applicable
> to my problem somehow.)
>
> Thank you very much, you're help is very much appreciated, as always.
>
> Laszlo
>
> *
> * 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/
>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
* 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/
