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From |
"Joy Chen" <Joy.Chen@lrz.uni-muenchen.de> |

To |
"Stata List" <statalist@hsphsun2.harvard.edu> |

Subject |
st: nonlinear programming |

Date |
Wed, 2 Feb 2005 21:34:22 +0100 |

Hi, I am working on a nonlinear programming and I got problems with the progamming and the results. I wonder whether anyone that knows nonlinear programming could help me a little bit. Here is my programming: capture program drop nlprog program define nlprog version 8.0 if "`1'" == "?" { global S_1 "B0 B1 B5" global B0=1 global B1=1 global B5=-1 exit } replace `1'=(1/$B0) *$B5* (exp((e - $B0*f)* $B1)-exp(- (e- $B0*f) * $B1)) end nl prog f, eps(1e-3) There are two variables in the dataset, e and f. In the -replace- line, I have the variable f in RHS. f is my dependent variable as well in nl regression. ( I am not sure whether this setup will cause a problem.) But i couldn't solve f explicitly for a system of nonlinear equations. It never converges even after more than 1000 iterations. When i set esp(1e-3) instead of the default one, 1e-5, i got the following results, which are quite far away from those existing in the literature (B0 must be 0.075, B1 must be around 9 and B5 around -1.5). ........ Iteration 88: residual SS = 1.31e-06 Iteration 89: residual SS = 1.31e-06 Source | SS df MS Number of obs = 138 -------------+------------------------------ F( 2, 135) = 2.20e+09 Model | 42.5278108 2 21.2639054 Prob > F = 0.0000 Residual | 1.3044e-06 135 9.6625e-09 R-squared = 1.0000 -------------+------------------------------ Adj R-squared = 1.0000 Total | 42.5278121 137 .310421986 Root MSE = .0000983 Res. dev. = -2158.198 (prog) ---------------------------------------------------------------------------- -- f | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+-------------------------------------------------------------- -- B0 | 2245.996 .0252551 . 0.000 2245.946 2246.046 B1 | .0000104 1.46e-10 . 0.000 .0000104 .0000104 B5 | -47949.21 .6685612 . 0.000 -47950.53 -47947.89 ---------------------------------------------------------------------------- -- * Parameter B0 taken as constant term in model & ANOVA table (SEs, P values, CIs, and correlations are asymptotic approximations) I am stuck at this point quite a few days. It would be really nice if anyone could give me some suggestion or diagonosis. Best. Joy Chen Munich Graduate School of Economics University of Munich Kaulbachstraße 45 D-80539 Munich / Germany Email: Joy.Chen@lrz.uni-muenchen.de * * 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/

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