Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Dawei Zhang <dz.calgary@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Estimating the CES-Translog Production Function |

Date |
Thu, 31 Mar 2011 22:53:25 -0600 |

Hi Charles,

Dawei On 27/03/2011 7:02 AM, Charles Koss wrote:

Two ideas come to mind: a) Try smaller step size between iterations. b) Try different numerical optimization techniques Can you describe the convergence without the constraints? Charles

On Sat, Mar 26, 2011 at 11:29 PM, Dawei Zhang <dz.calgary@gmail.com> wrote:

> Dear Statalist users, > > I am having some convergence problems when estimating the CES-Translog > production function using the "nl" command in Stata. The program has > converged in terms of reaching a minimum residual sum of squares, however > not all of the parameters converged to steady values. The estimation form is > as following: > > ln(Output) = {alpha} -(1/{rho}) * ln[ {delta_Z} * Z^{-rho} + {delta_K} * > K^{-rho} + (1 - {delta_Z} - {delta_K}) * L^{-rho} ] + {beta_ZZ} * ln(Z)^{2} > + {beta_KK} * ln(K)^{2} > + {beta_LL} * ln(L)^{2} + {beta_ZK} * ln(Z) * ln(K) + > {beta_LZ} * ln(L) * ln(Z) + {beta_LK} * ln(L) * ln(K) + epsilon , > > where Output, Z, K, and L are the data. We have 10 parameters to be > estimated: alpha, rho, delta_Z, delta_K, beta_KK, beta_LL, beta_ZZ, beta_ZK, > beta_LZ, and beta_LK. We use re-parameterization (mainly using tanh() and > invlogit()) to impose interval constraints on the parameters: alpha in > (-5,5), rho in (-2,2) but not equal to 0, delta_Z in (0,1), delta_K in > (0,1), 1 - delta_Z - delta_K>0 (we use multinomial logit to reparameterize > this constraint), and all the rest parameters in (-1,1). > > After trying 2000 sets of starting values randomly selected from the > intervals mentioned above, we could not have all 10 parameters converge at > the same time, especially for the two parameters: delta_Z and rho. We tried > a few different datasets and this problem persists. Any suggestions on how > we can solve this problem? > > Thank you, > > Dawei

* * 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: Estimating the CES-Translog Production Function***From:*Nick Cox <njcoxstata@gmail.com>

- Next by Date:
**st: Inequality constraints for ARCH/GARCH** - Next by thread:
**Re: st: Estimating the CES-Translog Production Function** - Index(es):