Re: [R] maximum likelihood convergence reproducing Anderson Blundell 1982 Econometrica R vs Stata

From: Berend Hasselman <bhh_at_xs4all.nl>
Date: Tue, 10 May 2011 12:34:51 -0700 (PDT)

Alex Olssen wrote:

> 
> Wow that is really interesting,
> 
> Sorry I was asleep when you emailed these.
> 
> And yes, of course, I had been trying to implement model 18, not 18s,
> that was a typo, sorry.
> 
> I will have a look at the code you posted.
> 
> Thanks,
> 
> Alex
> 

I have run nlm with a zero starting vector on model 18.

> start.zero <- rep(0,8)
> 
> q.zero <- nlm(p=start.zero, f=lnl, hessian=TRUE, gradtol=1e-15,
+                  y1=y1, y2=y2, x1=x1, x2=x2, x3=x3)
>
> q.zero
$minimum
[1] -76.73878

$estimate
[1] -0.68124025 0.28686058 -0.15394903 -0.06173779 1.30304998 -0.25446946
[7] 0.14531856 0.05349810

$gradient
[1] 0.0001356761 0.0014407493 0.0013240913 0.0006367333 -0.0005172628
[6] -0.0051911383 -0.0044429086 -0.0019081432

$hessian

          [,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 197993.1 1982843 1746582 807261.9 135628.5 1355944 1194854
[2,] 1982842.8 19766730 17430209 8084282.7 1357883.8 13506353 11915748
[3,] 1746581.8 17430209 15376070 7138194.2 1196134.9 11911149 10512490
[4,] 807261.9 8084283 7138194 3323204.7 552932.9 5526861 4882154
[5,] 135628.5 1357884 1196135 552932.9 271571.7 2713953 2391658
[6,] 1355943.5 13506353 11911149 5526860.9 2713953.0 26956003 23785984
[7,] 1194854.2 11915748 10512490 4882154.2 2391658.1 23785984 20996480
[8,] 552860.7 5534816 4887292 2275676.3 1106862.5 11057031 9768028

           [,8]
[1,] 552860.7
[2,] 5534816.0
[3,] 4887292.4
[4,] 2275676.3
[5,] 1106862.5
[6,] 11057030.7
[7,] 9768027.6
[8,] 4554570.6

$code
[1] 2

$iterations
[1] 68

>
> q.zero$estimate
[1] -0.68124025 0.28686058 -0.15394903 -0.06173779 1.30304998 -0.25446946
[7] 0.14531856 0.05349810

Quite different from what you get if one starts with AB's model 18 results of Table II.
I have also used Gretl's FIML procedure to estimate the model (I don't know what starting values Gretl uses).
The results are very similar to those obtained with nlm as above.

Berend

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Received on Tue 10 May 2011 - 19:39:10 GMT

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