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RE: st: RE: error message: initial values not feasible


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: error message: initial values not feasible
Date   Wed, 7 Apr 2010 08:58:28 -0700 (PDT)

--- On Wed, 7/4/10, sun samn wrote:
>   It is about my simulation: I want to repeat the GMM for
> 1000 times and see how the GMM estimates are under different
> data generation process(DGP). Under certain DGP, the code
> works fine; while when I change the DGP, I get that error
> message. I even tried to change the initial value of the
> parameter, but it did not work either.
>   I guess the method is fine since it works for some DGP;
> while the data or the initial value might not be good. But I
> cannot change the data, you know, I need to stick to that
> setting; so it seems like the only thing I can do is to put
> an appropriate number, right?

Imagine you are someone who tries to answer your question, 
how would the information you profided help in diagnosing the
problem? It is obviously still not enough. I will give 2
guesses at what might be going on, but I will not give much 
details as they may very well not be appropriate to your 
situation.

The fact that your evaluator worked on some datasets does
not mean it is good: some parameterizations are more 
numerically stable than others. See: William Gould (2006)
Mata Matters: Precision. The Stata Journal, 6(4):550-660.
http://www.stata-journal.com/article.html?article=pr0025

Your simulated datasets may just be too extreme: e.g. 
very little variation on some variables or very high 
correlations. Look at the datasets that are causing 
problems and make a decision whether they are worth 
going through much trouble to estimate a model in it. 

-- Maarten

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

http://www.maartenbuis.nl
--------------------------


      

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