Various methods available
- linear-form (lf) method; no need to code derivatives
- no derivative (d0) method; no need to code derivatives
- first derivative (d1) method; must code first derivative
- second derivative (d2) method; must code first and second derivatives
Debugger
- utility to verify that the log likelihood works
- ability to trace the execution of the log likelihood evaluator
- comparison of numerical and analytic derivatives for d1 and d2 methods
Techniques
- modified Newton–Raphson
- Davidon–Fletcher–Powell (DFP)
- Broyden–Fletcher–Goldfarb–Shanno (BFGS)
- Berndt–Hall–Hall–Hausman (BHHH)
Variance matrix estimators
- observed information matrix (Hessian matrix)
- outer product of the gradients (OPG)
- Huber/White/robust and cluster–robust
- bootstrap
- jackknife
- survey design, including multistage and stratified designs
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Built-in features
- calculate robust standard errors
- include weights
- include linear constraints
- use clustered data
- calculate scores
- automatic support for survey data
- graph convergence path
- redisplay results
- specify initial values
- maximize difficult functions
- control convergence criteria
- use standard output or create your own
Maximum likelihood estimation example
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