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Re: st: Things to consider when regressions don't converge


From   jean ries <ries@ires.ucl.ac.be>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Things to consider when regressions don't converge
Date   Tue, 18 May 2004 17:26:02 +0200

At 16:29 18/05/2004, you wrote:
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.
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 borrower :

bysort borrower: g R = _N

and:

help _variables

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,

jean
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