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st: RE: Why does TRUNCREG cannot find the MLE estimate?


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Why does TRUNCREG cannot find the MLE estimate?
Date   Mon, 5 Sep 2005 12:29:35 -0500

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Li, Shaling (lis1)
> Sent: Saturday, September 03, 2005 4:01 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Why does TRUNCREG cannot find the MLE estimate?
> 
> Dear Statalist members,
> 
> I use TRUNCREG command to run regression with truncated sample. My
> regression is to regress return on deps, a bivariate regression. Return is
> right-skewed with a fat tail and deps is left-skewed also with a fat tail.
> 
> Model: Return = a+ b*deps + error ;
> Truncation point: return = 0;
> My command is "truncreg return deps, ll(0)" and "truncreg return deps,
> ul(0)"
> 
> For the right-truncated sample, it works well and produce the same results
> as I could get from SAS. But for the left-truncated sample, STATA shows
> that it "could not calculate numerical derivatives, missing values
> encountered" (showed below). SAS also fails to generate any stable results
> for the left-truncated sample (either fail to generate a result as does
> STATA, or generate random results


You might try adding the -difficult- option or changing the algorithm to:

technique(bhhh)  Berndt-Hall-Hall-Hausman (BHHH) algorithm
technique(dfp)   Davidon-Fletcher-Powell (DFP) algorithm
technique(bfgs)  Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm


Scott



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