Thursday, March 09, 2006

Re: st: RE: lazy -ml-!

Alan,

Indeed, with all zeroes, the log likelihood is = . (as it should be in my model). I tried it with my starting values, with Stata's random search, whatever -- it is just going that way. It may have to do with a constraint I am imposing -- I am fixing one of the parameters, and for some reason Stata does not respect that in the random search (which I think is a bug!!!), so when it switches from -ml search- to -ml max-, it loses a few hundreds in the log-likelihood. That must puzzle -ml-; it then takes regressively smaller steps trying to crawl back to the nice value it had, and fails.

My previous experience with -ml- was that is was able to incorporate the constraint successfully.

On 3/9/06, Feiveson, Alan H. (JSC-SK311) <alan.h.feiveson@nasa.gov> wrote: > Stas - Have you tried changing your initial values? I believe if you > don't specify them they default to being zero. If the log likelihood > evaluated at all zeros has partials that are also zero, the procedure > may not be able to find a place to go next. > > Al Feiveson > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas > Kolenikov > Sent: Thursday, March 09, 2006 12:50 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: lazy -ml-! > > A really strange thing is happenning with my -ml- programming. I wrote > an -lf- program that passes -ml check-, however when it comes to the > real -ml max-imization, it just does not make any steps (I am checking > with -noi mat li $ML_b- in the whatever_ll.ado) -- and hence my program > returns the same value of the likelihood, and hence -ml- exits with > r(430) could not calculate numerical derivatives, flat or discontinuous > region encountered. That is absolutely weird, it does not depend on > starting values, search (which does make good steps imporving the > likelihood), it just happens that way! > > Stata/SE 9.1 is up to date. > > . which ml > C:\Stata9\ado\updates\m\ml.ado > *! version 6.2.6 01jul2005 > > . which ml_max > C:\Stata9\ado\updates\m\ml_max.ado > *! version 7.3.1 30jan2006 > > Has there been anything drastic in the latest updates? I just won't > venture digging into ml_max.ado code. > > -- > Stas Kolenikov > http://stas.kolenikov.name > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ >

-- Stas Kolenikov http://stas.kolenikov.name

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


Tag:


Links to this post:

Create a Link



<< Home

This page is powered by Blogger. Isn't yours?