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st: cryptic convergence error message in xtgee/xtlogit

From   Kenneth Flamm <>
Subject   st: cryptic convergence error message in xtgee/xtlogit
Date   Mon, 22 Aug 2005 09:33:30 -0500

I am attempting to run a GEE logit model on a binary data set consisting of about 26,000 clusters observed at 3 points in time.
It runs fine with an independent working correlation structure. When I make any assumption about the off-diagonal terms not being zero, however (exchangeable,unstructured,AR(1), whatever) I get an error message that looks like

Iteration 1: tolerance = 33.763565
estimates diverging (missing predictions)

I have tried everything I can think of: I have 50 dummies, in addition to various continuous variables, and have dropped all cases where one of the 50 dummies is associated with binary outcomes in the single digits, on the theory that small cell counts may be the problem. No go, still get the same error message.

I have tried tricks to make sure that I am not on the boundary of my parameter space: replicating my sample 1000 times, then adding an artificial sample once where I have reversed the 0/1 outcomes to ensure sure I am in the interior. Same problem.

I have even made sure that it is not a numerical problem in Stata 9.0. Ran the same problem in SAS 9 Proc Genmod and get an even more cryptic error message (estimation error)!

Has anyone seen this error message, know what it means, and have any ideas about corrective action that might work? Any good ideas would be most appreciated.


Ken Flamm

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