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Re: st: triprobit convergence problem

From   Maarten buis <>
Subject   Re: st: triprobit convergence problem
Date   Mon, 22 Mar 2010 02:41:57 -0700 (PDT)

--- On Sun, 21/3/10, Roy, Manan wrote:
> I am trying to estimate triprobit models with different
> time categories (as dummies) and 2 binary program
> participation variables.
>  I have 2 almost identical data sets, one with N=1600 and
> the other with N=1000.
> There are 2 time categories for which the models are not
> converging. Let's call them TIME1 and TIME2.=20
> TIME1 converges in N=1600 data while it doesn't in N=1000
> data. The exactly opposite case holds for TIME2.

1000 and 1600 seems to me a bit small for this type of model, 
especially when your subdividing that small sample size in
smaller bits. A solution would be to stack those datasets, 
add dummies for dataset and periods and interactions. But
instead of adding all dummies + interactions impose some 
reasonable constraints (leave some interactions out, saying
that the effects of those variables are the same across 
datasets, or replace time dummies with a linear trend or
a spline, etc.) These kinds of constraints allow you to
use more information from similar groups to estimate the 
parameters, which means the model is more likely to converge.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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