Jean, thanks a lot. But perhaps I should have explained myself better.
It is my -R- that I want, that is, the number of bonds issued by a
particular borrower SO FAR at each different point in time. Your -R-
would give me the FINAL total of bonds that a particular borrowed issue
throughout the whole sample and that number would be repeated for each
observation within the same borrower. This is not what I want.
And yes, I tried the twostep option and it does run my regression more
smoothly but I am not sure why it doesn't work without the twostep
option.
Thank you.
Adrian
> -----Original Message-----
> From: jean ries [mailto:[email protected]]
> Sent: Tuesday, May 18, 2004 11:26 AM
> To: [email protected]
> Subject: Re: Things to consider when regressions don't converge
>
>
> 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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