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st: MLE - numerical derivatives problem
I'm having trouble with the estimation of a non-linear likelihood
function on panel data. My program passes all the tests in ml check
and goes through ml seach, but in ml max I get the following error:
"could not calculate numerical derivatives
flat or discontinuous region encountered"
The model I'm trying to estimate is in Groseclose, Levitt, and Snyder's
1999 article in the APSR. I think the problem might be that since
there are a lot of dummy variables in the model and each one seldom
takes on a value other than zero (at most a particular dummy variable =
1 in only 1% of the obs), there are problems calculating the numerical
derivatives. I've been able to estimate a simplified version of the
model when I have dummy variables that takes on a value of one 50% of
Does it sound like I have a correct diagnosis of the problem?
Suggestions to fix this?
I'd like to run this in Stata so I could get standard errors more
easily, but I have started writing a Matlab program to do the
estimation. Additionally, Matlab is a bit cumbersome with the number
of dummy variables I have (over 2500). Will Matlab be able to estimate
the model faster than Stata?
Thanks very much for any help.
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