RE: st:

["Gregory, Christian" <cgregory@ers.usda.gov>]

Hi Jeff & Klaus,

Thanks for your responses to my question. They were both most helpful. I
have 2 more:

1. Jeff, when you say relative difference for, say, ptol, is this (p for
this iteration - p for the last iteration) - ptolerance?

2. Can you say something about the relevance of the g*(-inv(H))g'
criterion? Does it do something other than make sure the 1st and second
derivatives are zero?

Thanks for your help.
Christian

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jeff
Pitblado, StataCorp LP
Sent: Monday, January 24, 2011 3:24 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: 

Christian Gregory <cgregory@ers.usda.gov> has a couple of questions
about
output in the iteration log from -ml- when the -showtolerance- option is
specified:

> I'm using ml to estimate a model.
> 
> 1. I'm using <showtolerance> option: the output reports "ptol" and
> "vtol." Do these refer to difference in likelihood or parameter
> estimates? I cannot find reference to them in any of the manuals.
> 
> 2. In computing the scaled gradient (g()*H*g()'), how does Stata
compute
> the Hessian? I'm using an lf1 type estimator: does it compute the
> Hessian numerically from the gradients that I have written? Or does it
> compute them numerically from numeric gradients that it calculates?

The 'ptol' identifier refers to the relative difference compared to the
coefficient tolerance.  The coefficient tolerance is specifed via -ml-'s
-tolerance()- option.

The 'vtol' identifier refers to the relative difference compared to the
value
tolerance (also known as the log-likelihood tolerance for -ml-).  The
log-likelihood tolerance is secified via -ml-'s -ltolerance()- option.

For an -lf1- evaluator, -ml- computes the Hessian matrix by taking
numeric
derivatives of the gradient resulting from the scores returned by the
-lf1-
evaluator.

--Jeff
jpitblado@stata.com
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