Hello, could someone help me identify what is the problem with this code I tweaked to simulate maximum likelihood in a dynamic multinomial logit model from this article by Haan & Uhlendorf "Estimation of multinomial logit models with unobserved heterogeneity using maximum simulated likelihood": https://journals.sagepub.com/doi/pdf...867X0600600205
I am getting the error that there is an invalid syntax. Thank you!
program define mlogitmodeld0
args todo b lnf
tempvar etha2 etha3 random1 random2 lj pi1 pi2 pi3 sum lnpi L1 L2 last
tempname lnsig1 lnsig2 atrho12 sigma1 sigma2 cov12
mleval `etha2' = `b', eq(1)
mleval `etha3' = `b', eq(2)
mleval `lnsig1' = `b', eq(3) scalar
mleval `lnsig2' = `b', eq(4) scalar
mleval `atrho12' = `b', eq(5) scalar
qui {
scalar `sigma1'=(exp(`lnsig1'))^2
scalar `sigma2'=(exp(`lnsig2'))^2
scalar `cov12'=[exp(2*`atrho12')-1]/[exp(2*`atrho12')+1]* ///
(exp(`lnsig2'))*(exp(`lnsig1'))
gen double `random1' = 0
gen double `random2' = 0
gen double `lnpi'=0
gen double `sum'=0
gen double `L1'=0
gen double `L2'=0
by personid: gen byte `last'=(_n==_N)
gen double `pi1'=0
gen double `pi2'=0
gen double `pi3'=0
}
matrix W = ( `sigma1' , `cov12' \ `cov12' , `sigma2')
capture matrix L=cholesky(W)
if _rc != 0 {
di "Warning: cannot do Cholesky factorization of rho matrix"
}
local l11=L[1,1]
local l21=L[2,1]
local l22=L[2,2]
forvalues r=1/$draws{
qui {
replace `random1' = random_1`r'*`l11'
replace `random2' = random_2`r'*`l22' + random_1`r'*`l21'
replace `pi1'= 1/(1 + exp(`etha2'+`random1')+exp(`etha3'+`random2'))
replace `pi2'= exp(`etha2'+`random1')*`pi1'
replace `pi3'= exp(`etha3'+`random2')*`pi1'
replace `lnpi'=ln(`pi1'*a1+`pi2'*a2+`pi3'*a3)
by personid: replace `sum'=sum(`lnpi')
by personid: replace `L1' =exp(`sum'[_N]) if _n==_N
by personid: replace `L2'=`L2'+`L1' if _n==_N
}
}
qui gen `lj'=cond(!`last',0, ln(`L2'/`$draws'))
qui mlsum `lnf'=`lj'
if (`todo'==0|`lnf'>=.) exit
end
ml model d0 mlogitmodeld0 (newstates = married yearseduc hhsize nchild ndependents h2q8 agesq altisco_1-altisco_9 tenure year_1-year_7 newstates_1t_1 newstates_2t_1 newstates_3t_1 newstates_1t1 newstates_2t1 newstates_3t1) (newstates = married yearseduc hhsize nchild ndependents h2q8 agesq altisco_1-altisco_9 tenure year_1-year_7 newstates_1t_1 newstates_2t_1 newstates_3t_1 newstates_1t1 newstates_2t1 newstates_3t1) /lnsig1 /lnsig2 /atsig12
matrix start = (Init)
ml init start 0.5 0.5 0.5 ,copy
ERROR:
. ml maximize
invalid syntax
r(198);
I am getting the error that there is an invalid syntax. Thank you!
program define mlogitmodeld0
args todo b lnf
tempvar etha2 etha3 random1 random2 lj pi1 pi2 pi3 sum lnpi L1 L2 last
tempname lnsig1 lnsig2 atrho12 sigma1 sigma2 cov12
mleval `etha2' = `b', eq(1)
mleval `etha3' = `b', eq(2)
mleval `lnsig1' = `b', eq(3) scalar
mleval `lnsig2' = `b', eq(4) scalar
mleval `atrho12' = `b', eq(5) scalar
qui {
scalar `sigma1'=(exp(`lnsig1'))^2
scalar `sigma2'=(exp(`lnsig2'))^2
scalar `cov12'=[exp(2*`atrho12')-1]/[exp(2*`atrho12')+1]* ///
(exp(`lnsig2'))*(exp(`lnsig1'))
gen double `random1' = 0
gen double `random2' = 0
gen double `lnpi'=0
gen double `sum'=0
gen double `L1'=0
gen double `L2'=0
by personid: gen byte `last'=(_n==_N)
gen double `pi1'=0
gen double `pi2'=0
gen double `pi3'=0
}
matrix W = ( `sigma1' , `cov12' \ `cov12' , `sigma2')
capture matrix L=cholesky(W)
if _rc != 0 {
di "Warning: cannot do Cholesky factorization of rho matrix"
}
local l11=L[1,1]
local l21=L[2,1]
local l22=L[2,2]
forvalues r=1/$draws{
qui {
replace `random1' = random_1`r'*`l11'
replace `random2' = random_2`r'*`l22' + random_1`r'*`l21'
replace `pi1'= 1/(1 + exp(`etha2'+`random1')+exp(`etha3'+`random2'))
replace `pi2'= exp(`etha2'+`random1')*`pi1'
replace `pi3'= exp(`etha3'+`random2')*`pi1'
replace `lnpi'=ln(`pi1'*a1+`pi2'*a2+`pi3'*a3)
by personid: replace `sum'=sum(`lnpi')
by personid: replace `L1' =exp(`sum'[_N]) if _n==_N
by personid: replace `L2'=`L2'+`L1' if _n==_N
}
}
qui gen `lj'=cond(!`last',0, ln(`L2'/`$draws'))
qui mlsum `lnf'=`lj'
if (`todo'==0|`lnf'>=.) exit
end
ml model d0 mlogitmodeld0 (newstates = married yearseduc hhsize nchild ndependents h2q8 agesq altisco_1-altisco_9 tenure year_1-year_7 newstates_1t_1 newstates_2t_1 newstates_3t_1 newstates_1t1 newstates_2t1 newstates_3t1) (newstates = married yearseduc hhsize nchild ndependents h2q8 agesq altisco_1-altisco_9 tenure year_1-year_7 newstates_1t_1 newstates_2t_1 newstates_3t_1 newstates_1t1 newstates_2t1 newstates_3t1) /lnsig1 /lnsig2 /atsig12
matrix start = (Init)
ml init start 0.5 0.5 0.5 ,copy
ERROR:
. ml maximize
invalid syntax
r(198);
Comment