Maximum Likelihood Estimation with Stata, Third Edition - Softcover

Sribney, William

 
9781597180122: Maximum Likelihood Estimation with Stata, Third Edition
Softcover
ISBN 10: 1597180122 ISBN 13: 9781597180122
Publisher: Stata Press, 2005

Synopsis

Written by the creators of Stata's likelihood maximization features, Maximum Likelihood Estimation with Stata, Third Edition continues the pioneering work of the previous editions. Emphasizing practical implications for applied work, the first chapter provides an overview of maximum likelihood estimation theory and numerical optimization methods. With step-by-step instructions, the next several chapters detail the use of Stata to maximize user-written likelihood functions. Various examples include logit, probit, linear, Weibull, and random-effects linear regression as well as the Cox proportional hazards model. The final chapters describe how to add a new estimation command to Stata. Assuming a familiarity with Stata, this reference is ideal for researchers who need to maximize their own likelihood functions.

New ml commands and their functions:

  • constraint: fits a model with linear constraints on the coefficient by defining your constraints; accepts a constraint matrix
  • ml model: picks up survey characteristics; accepts the subpop option for analyzing survey data
  • optimization algorithms: Berndt-Hall-Hall-Hausman (BHHH), Davidon-Fletcher-Powell (DFP), Broyden-Fletcher-Goldfarb-Shanno (BFGS)
  • ml: switches between optimization algorithms; computes variance estimates using the outer product of gradients (OPG)

    • "synopsis" may belong to another edition of this title.

    Product Description

    Emphasizing practical implications for applied work, this title provides an overview of maximum likelihood estimation theory and numerical optimization methods. It details the use of Stata to maximize user-written likelihood functions. It is useful for researchers who need to maximize their own likelihood functions.

    "About this title" may belong to another edition of this title.

    Publisher
    Stata Press
    Publication date
    2005
    Language
    English
    ISBN 10 
    1597180122
    ISBN 13 
    9781597180122
    Binding
    Paperback
    Edition number
    3
    Number of pages
    290