Maximum Likelihood Estimation and Nonlinear Least Squares in Stata_Christopher F Baum_2007

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1、MaximumLikelihoodEstimationandNonlinearLeastSquaresinStataChristopherFBaumFacultyMicroResourceCenterBostonCollegeJuly2007ChristopherFBaum(BostonCollegeFMRC)ML/NLinStataJuly20071/53MaximumLikelihoodEstimationinStataAkeyresourceMaximumlikelihoodestimationA

2、keyresourceisthebookMaximumLikelihoodEstimationinStata,Gould,PitbladoandSribney,StataPress:3ded.,2006.Agooddealofthispresentationisadaptedfromthatexcellenttreatmentofthesubject,whichIrecommendthatyoubuyifyouaregoingtoworkwithMLEinStata.Toperformmaximumli

3、kelihoodestimation(MLE)inStata,youmustwriteashortStataprogramdefiningthelikelihoodfunctionforyourproblem.Inmostcases,thatprogramcanbequitegeneralandmaybeappliedtoanumberofdifferentmodelspecificationswithouttheneedformodifyingtheprogram.ChristopherFBaum(Bos

4、tonCollegeFMRC)ML/NLinStataJuly20072/53MaximumLikelihoodEstimationinStataAkeyresourceMaximumlikelihoodestimationAkeyresourceisthebookMaximumLikelihoodEstimationinStata,Gould,PitbladoandSribney,StataPress:3ded.,2006.Agooddealofthispresentationisadaptedfro

5、mthatexcellenttreatmentofthesubject,whichIrecommendthatyoubuyifyouaregoingtoworkwithMLEinStata.Toperformmaximumlikelihoodestimation(MLE)inStata,youmustwriteashortStataprogramdefiningthelikelihoodfunctionforyourproblem.Inmostcases,thatprogramcanbequitegene

6、ralandmaybeappliedtoanumberofdifferentmodelspecificationswithouttheneedformodifyingtheprogram.ChristopherFBaum(BostonCollegeFMRC)ML/NLinStataJuly20072/53MaximumLikelihoodEstimationinStataExample:binomialprobitLet’sconsiderthesimplestuseofMLE:amodelthatest

7、imatesabinomialprobitequation,asimplementedinofficialStatabytheprobitcommand.WecodeourprobitMLprogramas:programmyprobit_lfversion10.0argslnfxbquietlyreplace‘lnf’=ln(normal(‘xb’))///if$ML_y1==1quietlyreplace‘lnf’=ln(normal(-‘xb’))///if$ML_y1==0endChristoph

8、erFBaum(BostonCollegeFMRC)ML/NLinStataJuly20073/53MaximumLikelihoodEstimationinStataExample:binomialprobitThisprogramissuitableforMLestimationinthelinearformorlfcontext.Thelocalmacrolnfcontainsthecontributiontolog-likeliho