MLAD: Stata module to perform maximum likelihood using automatic differentiation

Paul Lambert ()
Additional contact information
Paul Lambert: University of Leicester

Statistical Software Components from Boston College Department of Economics

Abstract: mlad maximizes a log-likelihood function where the likelihood function is programmed in Python. This enables the gradients and Hessian matrix to be obtained using automatic differentiation and to take advantage of using multiple CPUs. With large datasets mlad tends to be substantially faster than ml and has the important advantage that you don't have to derive the gradients and the Hessian matrix analytically as these are obtained using automatic differentiation.

Language: Stata
Requires: Stata version 16.1
Keywords: maximum likelihood; Python; automatic differentiation (search for similar items in EconPapers)
Date: 2021-08-04, Revised 2024-05-02
Note: This module should be installed from within Stata by typing "ssc install mlad". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mlad.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mlad_ll.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mladutil.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mlad.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mlad_utility.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458979

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().