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From | "Stephen P. Jenkins" <stephenj@essex.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: -ml- and robust etc options with panel data estimators |
Date | Mon, 8 Nov 2010 10:39:52 -0000 |
I am thinking about maximization of likelihoods for panel data, and wish to incorporate options like -robust- and -cluster- and svy. My current programs for panel data (in fact for discrete time survival data), written for version 8, use d0 estimators, and so cannot incorporate those options. I am wondering about updating these and similar programs to version 11, and extending them to include the options mentioned. My understanding -- perhaps wrong -- was that such options could be added in pre-11 Stata versions by using method d1 or d2 estimators: you needed to supply an evaluator function that yielded scores. For version 11, I am reading the -ml- manual entries, and Gould, Pitblado, Poi (Maximum Likelihood Estimation with Stata, 4th edition, 2010), especially section 3.3 on Likelihood Evaluator Methods. It appears that, as in previous versions, estimators for panel data need to use -ml- methods d0, d1, d2. But this rules out -robust- (only possible apparently with methods lf, lf0, lf1, lf2, gf0). I'm confused because (i) the manual entry for -ml- under 'Remarks: svy options and ml' ([R] p. 1082), shows code for an example of a d2 method evaluator with the svy option (though no output); but (ii) section 3.3 of the -ml- book states (p.50) that "Robust standard errors and survey data support are not available with d-family evaluators" So, what evaluator methods can I use with panel data in order to get svy estimates, and/or -robust- and -cluster- in version 11? Stephen ------------------------------------------------------------- Professor Stephen P. Jenkins <stephenj@essex.ac.uk> Institute for Social and Economic Research University of Essex, Colchester CO4 3SQ, U.K. Tel: +44 1206 873374. Fax: +44 1206 873151. http://www.iser.essex.ac.uk ; Survival Analysis using Stata: http://www.iser.essex.ac.uk/survival-analysis Downloadable papers and software: http://ideas.repec.org/e/pje7.html * * 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/