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st: Maximization never converges


From   "Pavlos C. Symeou" <p.symeou@jbs.cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Maximization never converges
Date   Sun, 14 Oct 2007 11:03:13 +0100

Dear Statalisters,

I am running a maximisation procedure based on Wang (2002, 2003) programme for the estimation of stochastic frontier models. The programme can estimate cross-sectional models and panel data models if, according to the author, one also includes firm-specific and time-specific dummies. Using my dataset, consisting of 144 countries and 15 years, the log-likelihood after a number of iterations (say 50) takes a value which does not change over subsequent iterations (after more than 1500 iterations with no change I had to break the procedure). In addition, STATA 10 SE never finds a concave estimate Every single iteration is not concave. Do you have a way to overcome this problem? I have also used the -difficult- option but this has been unsuccessful. The command is -ml max, diff gtol(0.001) gradient-

Yours,

Pavlos


"A Stochastic Frontier Analysis of Financing Constraints on Investment: The Case of Financial Liberalization in Taiwan ," Journal of Business and Economic Statistics, 2003, 21(3), pp.406-419.

"Heteroscedasticity and Non-Monotonic Efficiency Effects of a Stochastic Frontier Model," Journal of Productivity Analysis, 2002, 18, pp.241-253
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