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st: MLE - numerical derivatives problem


From   Jason DeBacker <debacker@eco.utexas.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: MLE - numerical derivatives problem
Date   Tue, 4 Apr 2006 10:15:21 -0500

Hi Statalisters,

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 the time.

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.

Sincerely,
Jason

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