Re: st: multilevel mixed effects piecewise model with 1 unknown knot location

[Jordan Silberman <silberman.stata@gmail.com>]

Many thanks for your advice. Jordan

On Wed, Jan 23, 2013 at 8:51 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
> On Wed, Jan 23, 2013 at 1:12 PM, Jordan Silberman wrote:
>> Does anyone know of a way to estimate in Stata a multilevel model that
>> is piecewise, with 1 knot, at an unknown location?
>
> That will require quite some custom programming. The problem is that
> multilevel models are estimated using some form of maximum likelihood,
> and the likelihood of such a hockey stick model is not smooth; at the
> maximum you won't be able to compute the first and second derivative.
> The tools in Stata for maximizing the likelihood require that the
> first and second derivatives exist, so not only will you have to write
> your own likelihood evaluator, but you also have to rewrite/adapt the
> tools for maximizing that likelihood. I would say that is way too much
> work to be realistic.
>
> What you could do is a grid search, i.e. estimate many different
> models with the knot at different locations and pick the one that fits
> best
>
> -- Maarten
>
> ---------------------------------
> Maarten L. Buis
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> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
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