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From |
"Alejandro Lopez-Feldman" <alopezfeldman@ucdavis.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: Convergence not achieved in MLE Heckman |

Date |
Thu, 17 Mar 2005 13:11:03 -0800 (PST) |

Dear Maria, I have also had problems with achieving convergence using Heckman MLE. From what I understand it is very common to have problems with convergence using MLE (I think Wooldridge's book argue this), that is why a lot of people still uses the twostep option. Also, do you have exlcusion restrictions? Are they 'good'? That might be another reason for your problem. A couple of references that might be useful are: Vella, F. (1998). Estimating Models with Sample Selection Bias: A Survey. The Journal of Human Resources. 33(1): 127-169. Leung, S.F. and Yu. S. (1996). On the choice between sample selection and two-part models. Journal of Econometrics. 72: 197-229. I hope this helps. > ----- Original Message ----- > From: "Santos, Maria Emma" <maria.e.santos@vanderbilt.edu> > To: <statalist@hsphsun2.harvard.edu> > Sent: Thursday, March 17, 2005 12:48 PM > Subject: Re: st: Convergence not achieved in MLE Heckman > > > > Dear Renzo, > > > > Thank you for the advice. The problem is that after excluding iterate (0) > the > > iteration log keeps showing "not concave" messages... > > > > Maria. > > > > Quoting Renzo Comolli <renzo.comolli@yale.edu>: > > > > > Dear Maria: > > > > > > Get rid of the -, iterate(0)- option. It is blocking the optimization > > > process. > > > -, iterate(#)- blocks the optimization process at # regardless of > > > convergence. By blocking it at 0, you basically see the intial values. > > > > > > Renzo > > > > > > > -------------------------------------------------------------------------- > -- > > > ---- > > > *From "Santos, Maria Emma" <maria.e.santos@vanderbilt.edu> > > > To statalist@hsphsun2.harvard.edu > > > Subject st: Convergence not achieved in MLE Heckman > > > Date Thu, 17 Mar 2005 12:11:10 -0600 > > > > > > > -------------------------------------------------------------------------- > -- > > > ---- > > > > > > Hello! > > > > > > I am using MLE Heckman procedure with standard errors corrected for > > > heteroskedasticity and clustering, with the options iterate(0) and > > > "difficult". > > > > > > I get estimations but it says: "Convergence not achieved". My question > is if > > > the > > > fact that convergence has not been achieved makes the estimations > > > unreliable. > > > If that is the case, what should I do to try to improve estimations? > > > I have tried dropping some variables but still convergence is not > achieved. > > > > > > Also, I haven't been able to use the Heckman two steps procedure because > I > > > need > > > to weight the variables. > > > > > > I would really appreciate if someone could give me some advice on this > issue > > > or > > > at least some reference where I can get information. > > > > > > Sincerely yours, > > > Maria. > > > ----------------------------------------------------------------- > > > Santos, Maria Emma > > > Vanderbilt University > > > Email: maria.e.santos@Vanderbilt.Edu > > > > > > > > > * > > > * 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/ > > > > > > > > > ----------------------------------------------------------------- > > Santos, Maria Emma > > Vanderbilt University > > Email: maria.e.santos@Vanderbilt.Edu > > * > > * 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/ > > ----------------------------------------- Alejandro Lopez-Feldman Ph.D. Candidate Agricultural and Resource Economics University of California-Davis * * 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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