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From |
dave fournier <otter@otter-rsch.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 09 Sep 2005 08:03:29 -0700 |

> -----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 Hi, I you can't fit the left truncated sample with STATA or SAS I suggest you try the little truncated regression example program on the AD Model Builder website. ADMB uses exact derivatives calculated by automatic differentiation techniques. This makes it very stable numerically. You can find the TRUNCREG example on the page http://otter-rsch.com/examples.htm Please let me know if you find it useful. Dave -- David A. Fournier P.O. Box 2040, Sidney, B.C. V8l 3s3 Canada http://otter-rsch.com -- Internal Virus Database is out-of-date. Checked by AVG Anti-Virus. Version: 7.0.300 / Virus Database: 267.10.18 - Release Date: 8/31/05 * * 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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