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Date:         Fri, 10 Aug 2001 14:26:16 -0500
Reply-To:     seymour.d.douglas@ACCENTURE.COM
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Seymour Douglas <seymour.d.douglas@ACCENTURE.COM>
Subject:      Logit model in IML
Content-type: text/plain; charset=iso-8859-1

1. DoubleMatrix2D x; 2. x = new DenseDoubleMatrix2D(T,K); 3. System.out.println(x); 4. DoubleMatrix2D y; 5. y = new DenseDoubleMatrix2D(T,1); 6. System.out.println(x); 7. 'x= transpose(DenseDoubleMatrix2D x) 8. x'x=mult( DenseDoubleMatrix2D x, DenseDoubleMatrix2D 'x) 9. invxx=inverse(DenseDoubleMatrix2D x'x) 10. 'y=transpose(DenseDoubleMatrix2D y) 11. x'y =mult( DenseDoubleMatrix2D x, DenseDoubleMatrix2D 'y) 12. bhat= mult(DenseDoubleMatrix2D invxx, DenseDoubleMatrix2D x'y) 13. Set initial log-likelihood l0 14. Count rows to get sample size t=nrow(x) 15. Count columns in x to get number of regressors k=ncol(x) 16. Count the number of ones in y, ysum-sum(y) 17. Define x*x= matrix multiplication of x, if x*x is a square matrix, inv(x*x) is the generalized inverse. 18. Define element by element matrix multiplication # 19. Generate the starting values for the regression b-hat=inv(x*x)*x'y 20. Declare a storage matrix (for results) 21. BEGIN ITERATION LOOP do it=1 to 25 while crit >1.0e-8) 22. Define z =x*b-hat 23. Define logistic probability distribution function pdf=exp(-z)/(1+exp (-z) 24. Define cumulative logistic distribution function cdf=1/(1+exp(-z) 25. Define the elements of the gradient vector grad=(y#(1-cdf)-(1-y)#cdf) #x 26. Define gradient vector grad =grad[+,]' 27. Let d =pdf 28. Define the information matrix inf=(x#d)'x 29. Define the inverse of the information matrix invinf=inv(inf) 30. Define current log-likehood loglhood= sum(y#log(cdf)+(1-y) #log*(1-cdf)) 31. Define the step towards maximum delta =invinf*grad 32. Let // Define vertical concatenation // 33. Let Max define the maximum element of a collection of elements 34. Define the convergence criteria a. The change in the log-likelihood Crit1=abs(loglhood-l0) b. The gradient length, Crit2 = ssq(grad) c. Step length, Crit 3 =ssq(delta) d. Concatentate criteria

35. Define All criteria -Critall=Crit1//Crit2//Crit3 36. Select maximum of all criteria crit=max(critall) 37. Update log-likelihood function b-hat=b-hat+delta 38. Print up results 39. end 40. Define logit covariance matrix cov= invinf 41. Let vecdiag be an operation that extracts the diagonal elements of a matrix. 42. Calculate the standard errors stderr=sqrt(vecdiag(cov)) 43. Calculate t-stat , t-stat= bhat/stderr Pri Accenture is the new name for Andersen Consulting as of January 1, 2001. Our web address is http://www.accenture.com


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