Re: [Gretl-users] Constant in log-likelihood and graph of two densities together (Allin Cottrell)
On Tue, 9 Jul 2013, Alecos Papadopoulos wrote:
GRAPH OF TWO DENSITIES TOGETHER: Thanks for providing the older link.
Although the code there is to plot two densities /consecutively /from left to
right, while what I need to do is to /superimpose/ them - and this I realize
now has the problem of having two different abscissaes series. Still, I
learned something new about handling plots in Gretl.
Really? Have you seen this?
http://lists.wfu.edu/pipermail/gretl-users/2013-April/008747.html
CONSTANT IN LOG-LIKELIHOOD
The basic code *without the constant in the log-l *is (omitting the initial
part where OLS executes to obtain initial values)
[...]
*COMMENT: **slope coefficients are again comparable and the value of
the
likelihood is close to what it should have been if its constant term was
added afterwards. But the estimates of the three variance terms v0 v1 v2 are
totally different, the one reaching the specified boundary of the parameter
space (zero). *
This is very strange indeed. It *may* have something to do with the
machine epsilon of your computer, but still it's very strange. Basically,
models 1 and 2 converge to the same maximum (with negligible differences);
model 3 really doesn't converge at all: BFGS gives you a spurious
convergence message, but you're not on the maximum. Weird.
Here's a couple of things you may try just to see what happens:
* try using "set bfgs_richardson on"; this uses a different algorithm for
computing numerical derivatives. Slower, but much more accurate.
* re-parametrise your model so to avoid estimating quantities, such as
variances, which have a lower bound. Try logarithms instead, for example.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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