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st: Integer log likelihoods


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Integer log likelihoods
Date   Wed, 13 Apr 2011 12:39:42 -0400

Dear Statalist,

I am trying to estimate an unobserved components time series model
using the Kalman Filter. I am using Stata MP 11.2. My model is
non-stationary and a little ill conditioned, so I expected
optimization problems. However, I am getting rather strange results:
log likelihoods become integer after a few iterations ! I am using the
-diff- option in the optimization. If I don't use it, the problem does
not arise.

Here is the code and some of the output. I was not able to reproduce
the problem with a Stata dataset.

constraint drop _all
constraint 1 [mu]l.mu=1
constraint 2 [lc1]l.c1=1
constraint 3 [dlrgdp]mu=1
constraint 4 [dlrgdp]c1=1
foreach x in "Argentina" {
	sspace (mu l.mu e.mu, state noconstant) (c1 l.c1 l.lc1 e.c1, state
noconstant) (lc1 l.c1, state noconstant) (dlrgdp mu c1 e.dlrgdp) if
country=="`x'", covstate(identity) constraints(1/4) diff
}

Iteration 0:   log likelihood =  106.07584
Iteration 1:   log likelihood =  106.37785
Iteration 2:   log likelihood =  106.37786  (backed up)
Iteration 3:   log likelihood =  106.37786  (backed up)
Iteration 4:   log likelihood =  106.37787  (backed up)
(switching technique to nr)
Iteration 5:   log likelihood =  106.37787  (not concave)
Iteration 6:   log likelihood =  106.84663  (not concave)
Iteration 7:   log likelihood =  108.23049  (not concave)
Iteration 8:   log likelihood =        144  (not concave)
Iteration 9:   log likelihood =        416  (not concave)
Iteration 10:  log likelihood =        416  (not concave)
Iteration 11:  log likelihood =        416  (not concave)
Iteration 12:  log likelihood =        416  (not concave)
Iteration 13:  log likelihood =        244  (not concave)

I think I should submit this to Tech Support, but I wanted to see if
somebody had suggestions on this matter.

_______________________
Jorge Eduardo Pérez Pérez

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