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RE: st: Two seemingly similar NL estimations give different results
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: Two seemingly similar NL estimations give different results
Date
Thu, 23 Jan 2014 12:12:54 +0000
Michael, Nick,
I think I might have spotted an important difference in the two programs.
The problem with the indirect code
// Compute RHS of regression
tempvar RHS
qui gen `RHS'=.
replace `RHS' =...
is that the temporary variable `RHS' is probably being created as a float. If the original `rhs' variable is a double, you can get differences arising because of numerical imprecision in the indirect code.
If you replace
qui gen `RHS'=.
with
qui gen double `RHS'=.
the discrepancy may go away.
--Mark
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Schaffer, Mark E
> Sent: 23 January 2014 11:06
> To: [email protected]
> Subject: RE: st: Two seemingly similar NL estimations give different results
>
> Nick,
>
> Maybe I'm missing something but I don't see how that addresses Michael's
> problem.
>
> As far as I can tell, his two nlexppremia programs are functionally identical.
>
> The first one replaces the contents of the variable `lhs' (first arg passed to the
> program) in two steps, depending on the value of `s' (second arg).
>
> The second one creates a tempvar `RHS' and gives the same contents, again in
> two steps depending on `s'. Then it assigns the values of `RHS' to `lhs'.
>
> So when the two programs are done running, they both should have replaced
> the contents of `lhs' with exactly the same thing (hence functionally identical).
> Or at least that how it looks to Michael (and to me).
>
> Unless there is a typo lurking in one or the other, I'm puzzled too...
>
> --Mark
>
> > -----Original Message-----
> > From: [email protected] [mailto:owner-
> > [email protected]] On Behalf Of Nick Cox
> > Sent: 23 January 2014 10:48
> > To: [email protected]
> > Subject: Re: st: Two seemingly similar NL estimations give different
> > results
> >
> > As I read this, every time it is called, -nl- replaces parameters with
> > values from the matrix you specified. That reduces the scope for
> > moving away from those initial values.
> > Nick
> > [email protected]
> >
> >
> > On 23 January 2014 09:21, Michael Boehm <[email protected]>
> > wrote:
> > > Dear Nick,
> > >
> > > Thanks for your answer. I am not quite sure I understand it though.
> > > All the parameters we estimate are free to vary in both
> > > implementations of the -nl- command (more detailed code below), but
> > > the estimates are different. Or do I misunderstand something?
> > >
> > > program nlexppremia
> > > version 13.1
> > > syntax varlist(min=4 max=4) [aw fw iw] if, at(name)
> > >
> > > // Retrieve variables
> > > local lhs: word 1 of `varlist'
> > > local s: word 2 of `varlist'
> > > local j: word 3 of `varlist'
> > > local e: word 4 of `varlist'
> > >
> > > // Retrieve parameters, stored in "at"
> > > tempname bG pi lambdaL1_0 lambdaL2_0 lambdaEL1_0 lambdaEL2_0
> > > lambdaL1_1 lambdaL2_1 lambdaEL1_1 lambdaEL2_1
> > > scalar `bG' = `at'[1,1]
> > > scalar `pi' = `at'[1,2]
> > > scalar `lambdaL1_0' = `at'[1,3]
> > > scalar `lambdaL2_0' = `at'[1,4]
> > > scalar `lambdaEL1_0' = `at'[1,5]
> > > scalar `lambdaEL2_0' = `at'[1,6]
> > > scalar `lambdaL1_1' = `at'[1,7]
> > > scalar `lambdaL2_1' = `at'[1,8]
> > > scalar `lambdaEL1_1' = `at'[1,9]
> > > scalar `lambdaEL2_1' = `at'[1,10]
> > >
> > > // replace the lhs directly:
> > > replace `lhs' = `bG'+(`lambdaL1_0'*j+`lambdaL2_0'*j^2) +
> > > log(1+`pi'*exp(`lambdaEL1_0'*j+`lambdaEL2_0'*j^2)*`e') if `s'==0
> > > replace `lhs' = `bG'+(`lambdaL1_1'*j+`lambdaL2_1'*j^2) +
> > > log(1+`pi'*exp(`lambdaEL1_1'*j+`lambdaEL2_1'*j^2)*`e') if `s'==1 end
> > >
> > > nl exppremia @ lhs s j e, nparameters(10)
> > >
> > >
> >
> ****************************************************************
> > ****
> > >
> > > program nlexppremia
> > > version 13.1
> > > syntax varlist(min=4 max=4) [aw fw iw] if, at(name)
> > >
> > > // Retrieve variables
> > > local lhs: word 1 of `varlist'
> > > local s: word 2 of `varlist'
> > > local j: word 3 of `varlist'
> > > local e: word 4 of `varlist'
> > >
> > > // Retrieve parameters, stored in "at"
> > > tempname bG pi lambdaL1_0 lambdaL2_0 lambdaEL1_0 lambdaEL2_0
> > > lambdaL1_1 lambdaL2_1 lambdaEL1_1 lambdaEL2_1
> > > scalar `bG' = `at'[1,1]
> > > scalar `pi' = `at'[1,2]
> > > scalar `lambdaL1_0' = `at'[1,3]
> > > scalar `lambdaL2_0' = `at'[1,4]
> > > scalar `lambdaEL1_0' = `at'[1,5]
> > > scalar `lambdaEL2_0' = `at'[1,6]
> > > scalar `lambdaL1_1' = `at'[1,7]
> > > scalar `lambdaL2_1' = `at'[1,8]
> > > scalar `lambdaEL1_1' = `at'[1,9]
> > > scalar `lambdaEL2_1' = `at'[1,10]
> > >
> > > // Compute RHS of regression
> > > tempvar RHS
> > > qui gen `RHS'=.
> > > replace `RHS' = `bG'+(`lambdaL1_0'*j+`lambdaL2_0'*j^2) +
> > > log(1+`pi'*exp(`lambdaEL1_0'*j+`lambdaEL2_0'*j^2)*`e') if `s'==0
> > > replace `RHS' = `bG'+(`lambdaL1_1'*j+`lambdaL2_1'*j^2) +
> > > log(1+`pi'*exp(`lambdaEL1_1'*j+`lambdaEL2_1'*j^2)*`e') if `s'==1
> > >
> > > //Assign lhs=rhs
> > > replace `lhs' = `RHS'
> > >
> > > end
> > >
> > > nl exppremia @ lhs s j e, nparameters(10)
> > >
> > >
> >
> ****************************************************************
> > ****
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>
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-----
Sunday Times Scottish University of the Year 2011-2013
Top in the UK for student experience
Fourth university in the UK and top in Scotland (National Student Survey 2012)
We invite research leaders and ambitious early career researchers to
join us in leading and driving research in key inter-disciplinary themes.
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* 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/