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Re: st: problem with truncreg


From   Rich Steinberg <rsteinbe@iupui.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: problem with truncreg
Date   Sun, 27 Sep 2009 17:11:46 -0400

Thanks to you and to Jay Verkuilen. We have done a fair amount of transforming in tobit, and the form we choose worked best there so we were hoping to keep it the same here. Our ultimate goal was to manually do something like a double hurdle (truncreg and probit), but we finally found a way to get our real double hurdle model to converge.

Austin Nichols wrote:
Rich Steinberg <rsteinbe@iupui.edu> :
Perhaps the model (truncated normal error) is simply not very
appropriate for your data--you might try transforming your variables
if that makes sense in your setting.
webuse laborsub, clear
truncreg whrs kl6 k618 wa we, ll(0)
g s=(whrs)^2
truncreg s kl6 k618 wa we, ll(0)

On Tue, Sep 22, 2009 at 4:44 PM, Rich Steinberg <rsteinbe@iupui.edu> wrote:
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
numerical derivatives are approximate
nearby values are missing
cannot compute an improvement -- discontinuous region encountered
r(430);

Shortening my list of control variables did not eliminate the problem.

I understand problems with concavity.  Although they are present, they
do not seem to be the source of this error.
Perhaps I am being dense, but what could cause the likelihood to become
discontinuous? Is there a fix up or is this problem inherent.  (Note --
this is unconstrained).


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