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From | Nick Cox <njcoxstata@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: to hijack the stata ml? |
Date | Tue, 16 Oct 2012 02:12:50 +0100 |
See http://www.stata.com/bookstore/maximum-likelihood-estimation-stata/index.html for "a detailed document (really detailed) on the stata ml ado package" Chamberlain 1980: please see http://www.stata.com/support/faqs/resources/statalist-faq/#others (second paragraph) Sorry, but I can't help on your specifics. Depending on your previous experience of Stata programming, the task sounds somewhere between very difficult and impossible. Nick On Tue, Oct 16, 2012 at 1:58 AM, Sun Yutao <yutao.sun.statalist@outlook.com> wrote: > I’m wondering if there is a way to “hijack” the stata ml command, sorry for using this word but I have a very big panel probit with fixed effects and lots of cross-sections to maximize (I know the incidental parameter problem and let’s don’t talk about that right now) > > What I’m thinking is a partitioned mle which I either have to set constraints on some of the parameter in every iteration (e.g. the leapfrog) or to use a different approach of updating the parameter vector (e.g. Chamberlain 1980) > > Both can be done, of course, but with problems: For the first method, the number of constraints are 1999 in stata se 12. I can put constraints in a matrix though, but it can be a huge matrix and it’s time consuming to operate it. For the second method, I can use mata to bypass the stata ml routine but then I think I will lose a lot features from the stata ml command, which I don’t really like. > > I'm wondering if there is a way to "hijack" (sorry for this ugly word again :) ) the stata ml so it computes the derivatives and hessian, and updates the parameter vector in my own way but does everything else conventionally. > > It will also be appreciated if someone can provide me a detailed document (really detailed) on the stata ml ado package, because I tried to read it but it's really complicated. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/