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
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