st: truncreg and discontinous likelihood

[Rich Steinberg <rsteinbe@iupui.edu>]

> I've been trying truncreg and no matter what maximization technique I 
> try, I get a few "backups" and then the iteration terminates with the 
> following message:
>
> numerical derivatives are approximate
> nearby values are missing
> cannot compute an improvement -- discontinuous region encountered
> r(430);
Most everything I tried failed to cure this problem.  -- variations in 
optimization technique, in set of RHVs.  But then I clicked an option 
that I couldn't find documentation on -- "disable use of the 
Hessian-scaled gradient (nontolerance)"  and I got  convergence.  
However, results were flakey and suspect (clustering errors led to 
significant sign flips, most everything that is significant in any other 
estimation  technique is insignificant here and some things that are 
insignificant elsewhere are significant here.

I found the reference in documentation to the instability of truncated 
regression coefficients in some circumstances, and my coauthor is 
reading about that.  My questions for the list are

a) I understand what lack of concavity and backing up is about.  But I 
am baffled by "discontinuity" of the likelihood function -- is there a 
simple explanation of what could cause it? 
b) Checking that "disable" box led to convergence, but since I don't 
understand the algorithmic issue here, can you reassure me that this 
solution is plausibly the correct one to the problem I was having.
c) Are my flakey results inherent in doing truncated regression, or do 
they suggest that I am doing something else wrong (or, heaven forbid, 
that stata is doing something wrong). 

(forgive me if part of this is a double posting.  I got indications when 
I tried to post it the first time yesterday that I failed)

--
Rich Steinberg
Department of Economics, 516 Cavanaugh Hall
IUPUI
Indianapolis, IN 46202-5140
317-278-7221

"Unanswered email since 1955"

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