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Re: st: Things to consider when regressions don't converge
At 16:29 18/05/2004, you wrote:
I don't think that R represents what you expect it to represent. The way
you define it, R contains the current observation number for each borrower.
Try the following to obtain the number of bonds issued by a particular
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.
bysort borrower: g R = _N
In any case, have a look at the Stata reference manual. It contains a nice
discussion on problems related to Heckman selection models. As suggested
there, you should try to fit your model using the two-step method.
Hope this helps,
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