Various methods available

• Linear-form methods; no need to code derivatives
• No-derivative methods; no need to code derivatives
• First-derivative methods; must code first derivative
• Second-derivative methods; must code first and second derivatives
• Write code in ado or Mata
  

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
  

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

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