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Re: st: numerical derivatives and -ml- command
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: numerical derivatives and -ml- command
Date
Tue, 6 Nov 2012 09:52:59 +0100
On Mon, Nov 5, 2012 at 10:26 PM, Sun Yutao wrote:
> I'm trying to write an maximum likelihood algorithm that can handle a
> particularly large number of fixed effects (which is not possible with Stata's
> #var and matsize limitation). I have been comparing the performance of my ml
> with the Stata -ml- these days and I find something really strange.
Writing your own maximizer is something I would not do. These are
extremely subtle problems, and it is just way too easy to get it
wrong. Moreover, as you noticed Stata's maximizers are very good. It
is best to leave these kinds of problems to the professionals, you
already paid for their work after all. Typically that means you just
have to be a bit more creative in thinking about such problems such
that you can use Stata's maximizers even with a large number of fixed
effects.
-- Maarten
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany
http://www.maartenbuis.nl
---------------------------------
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