IDEAS home Printed from https://ideas.repec.org/p/boc/usug03/11.html
   My bibliography  Save this paper

Using Stata's -ml method d2- to estimate a multi-state Markov transition model

Author

Listed:
  • Thomas Büttner

    () (London School of Economics)

Abstract

I will discuss my experience with Stata's ml method d2 when coding and estimator for a multi-state Markov transition model with unobserved heterogeneity. When analytical derivatives are available, programming a "d2" estimator is in principle straightforward and offers potentially huge rewards in terms of convergence and speed of convergence: When the likelihood is flat, method "d0" may fail to converge (after a many iterations) as numerical derivatives cannot be computed, whereas convergence is often achieved quickly with method "d2". However, when the likelihood function is non-standard, programming a "d2" estimator may be complicated by Stata's limited range of matrix commands. In these cases, the researcher has to be inventive and may have to take a significant "diversion" to compute blocks of the Hessian that should have been straightforward with enhanced matrix capabilities. These "diversions" may be difficult to code and increase evaluation time significantly. With large datasets, this may also push the memory requirements beyond the available limit.

Suggested Citation

  • Thomas Büttner, 2003. "Using Stata's -ml method d2- to estimate a multi-state Markov transition model," United Kingdom Stata Users' Group Meetings 2003 11, Stata Users Group.
  • Handle: RePEc:boc:usug03:11
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/usug2003/Buettner_stata.pdf
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:usug03:11. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/stataea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.