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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 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 :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

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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**References**:**st: Things to consider when regressions don't converge***From:*"de la Garza, Adrian" <ADelagarza@imf.org>

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