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From |
"de la Garza, Adrian" <ADelagarza@imf.org> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Things to consider when regressions don't converge |

Date |
Tue, 18 May 2004 10:29:10 -0400 |

Dear Stata list, I would like to ask you if anyone knows what things I should look at when my regressions don't converge (log likelihood function not concave). They had been yielding very sensible results, and everything converged after 2 or 3 iterations max... and all of a sudden now they are not converging (or converge after 30+ or 50+ iterations). I am running a Heckman selection model (shown below) and after this non-converging story I started playing around with my equation and noticed that my -lR- variable might be the one that's giving me trouble. -lR- is ln(R), and -R- is generated as follows: sort borrower indic signdate mtydate amount by borrower: g R = _n so -R- is the number of bonds issued by a particular borrower at each different point in time. Now, when I remove -lR- from the equation, things do converge quickly. I thought that perhaps it was a problem of -lR- or -R- being correlated with something but that doesn't seem to be the problem either... and besides, why did I not encounter this issue before? Any thoughts would be greatly appreciated. Thank you, Adrian . heckman lspread lamount maturity g_usip1 lswap embi_sd crtg edtgdp ggdp90 sd_xgrth bissht_t resimp bnkcrdst pub pub_finance pub_service pub_utinfr priv priv_finance priv_service priv_utinfr lac yen mark euro othcur bshare lR /* > */if crtg<=50, /* > */select (indic=g_usip1 lswap embi_sd crtg edtgdp tdsxgs ggdp90 sd_xgrth bissht_t resimp ressht bnkcrdst pub priv) note: euro dropped due to collinearity Iteration 0: log likelihood = -5507.0896 (not concave) Iteration 1: log likelihood = -5507.0569 (not concave) Iteration 2: log likelihood = -5507.0436 (not concave) Iteration 3: log likelihood = -5506.9886 (not concave) Iteration 4: log likelihood = -5506.9761 (not concave) Iteration 5: log likelihood = -5506.9675 (not concave) Iteration 6: log likelihood = -5506.9584 (not concave) Iteration 7: log likelihood = -5506.9227 (not concave) Iteration 8: log likelihood = -5506.9012 (not concave) Iteration 9: log likelihood = -5506.8931 (not concave) Iteration 10: log likelihood = -5506.8855 (not concave) Iteration 11: log likelihood = -5506.8781 (not concave) Iteration 12: log likelihood = -5506.8702 (not concave) Iteration 13: log likelihood = -5506.8622 (not concave) Iteration 14: log likelihood = -5506.8542 (not concave) Iteration 15: log likelihood = -5506.846 (not concave) Iteration 16: log likelihood = -5506.8376 (not concave) Iteration 17: log likelihood = -5506.8291 (not concave) Iteration 18: log likelihood = -5506.8205 (not concave) Iteration 19: log likelihood = -5506.8117 (not concave) ... * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Things to consider when regressions don't converge***From:*jean ries <ries@ires.ucl.ac.be>

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