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Re: st: Maximization never converges


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Maximization never converges
Date   Sun, 14 Oct 2007 12:27:38 +0100 (BST)

--- "Pavlos C. Symeou" <p.symeou@jbs.cam.ac.uk> wrote:
> 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?

Does the model converge if you leave out the firm and time dummies?
Also have a look at a cross tabulation of firm v. time and see if there
are sparse or empty cells. Similarly have a look at a cross tabulation
or conditinal means of these dummies with the other explanatory
variables.

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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