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From | Alex Olssen <alex.olssen@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: maximum likelihood estimation similar to Poi 2002 |
Date | Tue, 29 Mar 2011 09:46:58 +1300 |
Thanks a lot for pointing out e(ll), that should help a lot. I just remembered that I had one other problem with -nlsur- It has to do with the number of parameters that I can estimate. I have 35 years of annual observations on 4 shares. I want to use 12 regressors in each of 3 equations - one dropped for estimation. -nlsur- doesn't like this. But to my mind this should be possible. Dropping one equation for estimation I no longer have any cross equation restrictions and I estimate as if by OLS equation by equation. Clearly with 35 observations I can estimate a simple model with 12 regressors by OLS. Alternatively think of the simple multivariate case. Further more in R I can estimate a model with 3 equations with 12 regressors each using 35 years of annual observations on 4 shares. To illustrate this problem consider the following code sysuse auto, clear keep in 1/5 nlsur (weight = {a0} + {a1}*price + {a2}*mpg) (length = {b0} + {b1}*price + {b2}*mpg) nlsur (weight = {a0} + {a1}*price) (length = {b0} + {b1}*price) Thanks, Alex On 29 March 2011 01:00, Brian P. Poi <brian@poiholdings.com> wrote: > > On 3/27/2011 10:51 PM, Alex Olssen wrote: >> >> Dear Statalist, >> >> I am trying to manually estimate a system similar to the QUAIDS system >> estimated in Poi's article in The Stata Journal, 2002, 2 (4). >> >> A crucial difference is that I do not what to impose symmetry on my >> coefficients like Poi did. >> >> However my code doesn't seem to quite work. I have fixed a couple of >> problems but now when I try the command >> >> ml search >> >> I get the error >> >> "b not found" >> >> I suspected I had not put `' around a local somewhere but have checked >> several times for this. >> > > The easiest way to find problems like this is to turn on -ml trace- before > calling -ml maximize-: > > . ml model ... > . ml trace on > . ml maximize > > -ml trace- is like -set trace-, except it only shows a trace of your > likelihood evaluator and not everything that -ml- does behind the scenes. > >> I was wondering if anybody would be interested enough to quickly look >> through my code - altogether it is less than 80 lines long and this >> includes spacing and comments for readability. >> It makes a call to the program vec_sum.ado which was written by Poi >> and can be accessed through the command >> >> net sj 2-4 >> net install st0029 >> >> Finally, I am aware that in The Stata Journal, 2008, 8 (4), that Poi >> provided another way to estimate QUAIDS using nlsur. >> >> However I am particularly interested in the log-likelihood value >> associated with my estimation and do not know of away to recover it >> following nlsur. >> > > -nlsur- with the "ifgnls" option stores the log-likelihood in e(ll). Just > type in > > . display e(ll) > > after -nlsur- to see it. If the only twist on your model is that you don't > impose symmetry, -nlsur- can handle it. The -ml- version is of course fine, > it's just much slower for this type of problem. > > -- Brian Poi > -- brian@poiholdings.com > > * > * 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/ > * * 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/