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From |
"Tiffany Davenport" <tiffany.davenport@yale.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Triprobit & mvprobit errors (trivariate probit model) |

Date |
Tue, 29 Jul 2008 15:01:38 -0400 |

Dear Statalist, I am experiencing difficulties simultaneously estimating three equations in order to estimate the average treatment effects of two interventions relative to a control group in a randomized experiment. I have used both triprobit and mvprobit commands and have different problems with each. I have searched the Statalist archives for applicable posts, but did not turn up enough information to resolve these issues. I am estimating the following three equations: 1. Outcome= &agr;1 + &bgr;1TreatmentAContact + &bgr;2TreatmentBContact + &bgr;3Stratum1 + &bgr;4Covariate1 +.+ &bgr;9Covariate6 + &egr;1 2. TreatmentAContact= &ggr; + &dgr;1Treatment A + &dgr;2Stratum1 + &dgr;3Covariate1 +.+ &dgr;8Covariate6 + &egr;2 3. TreatmentBContact = &pgr; + &thgr; 1TreatmentB + &thgr;2Stratum1 + &thgr;3Covariate1 +.+ &thgr;8Covariate6 + &egr;3 Where - All variables are binary including the "Outcome" dependent variable and all explanatory variables. - TreatmentAContact and TreatmentBContact are binary indicators of a subject's successfully having received the respective treatment. - TreatmentA and TreatmentB are binary indicators of random assignment to treatment groups A and B, respectively. "Control" is the reference group. - Standard errors are clustered by unit of randomization. The syntax I have been using is the following: Triprobit [or mvprobit] (Outcome= TreatmentAContact TreatmentBContact covariate1 covariate2 covariate3 covariate4 covariate5 covariate6 stratum1) (TreatmentAContact = TreatmentA covariate1 covariate2 covariate3 covariate4 covariate5 covariate6 Stratum1) (TreatmentBContact = TreatmentB covariate1 covariate2 covariate3 covariate4 covariate5 covariate6 Stratum1), cl (randomization unit) Errors I receive: triprobit: When I use triprobit with up to 5000 draws, I get the error "matrix not positive definite, r(506);" or "could not calculate numerical derivatives missing values encountered r(430);" When I specify "difficult" for triprobit, the output includes hundreds of iterations of the same log likelihood that are nonconcave, and though I have halted the process, it does not seem as though convergence will be reached.. mvprobit: When I use the mvprobit command with fewer draws (50, for example) I get the error, "flat or discontinuous region encountered, r(430);" In either case, all iterations after the first few result in log likelihoods that are listed as "nonconcave." Both commands work with a low number of draws, but the estimates are not stable. (If I slightly increase the number of draws, the estimates of the coefficients change.) I believe the presence of the control group, for which either contact variable is always 0 might be causing these problems. Does anyone have suggestions of alterations to triprobit or mvprobit that might help or perhaps a more appropriate estimation strategy than maximum simulated likelihood? Thank you for your consideration. Sincerely, Tiffany * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Triprobit & mvprobit errors (trivariate probit model)***From:*"Stas Kolenikov" <skolenik@gmail.com>

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