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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: problems declaring convergence with weighted data? |

Date |
Wed, 25 May 2011 23:21:54 -0500 |

Dear Statalisters (and Stata Corp), I am working with complex survey data, and am somewhat surprised that running some -ml- estimators with weighted data faces numerical difficulties. Consider this example: webuse nhanes2, clear * this one converges without any issues mlogit region age i.sizplace i.hlthstat##i.race i.sex##c.bpsys##c.bpdias heartatk * this one takes forever to converge, so I limited it to 50 iterations mlogit region age i.sizplace i.hlthstat##i.race i.sex##c.bpsys##c.bpdias heartatk [pw=finalwgt] , iter(50) * OK, the pseudo-likelihood is a huge number because of weights, so the convergence criteria have to be rescaled sum finalwgt local mw = r(mean) * this one converges, but numeric problems are reported mlogit region age i.sizplace i.hlthstat##i.race i.sex##c.bpsys##c.bpdias heartatk [pw=finalwgt] , nrtol( `=1e-5*`mw'' ) * this one, finally, converges mlogit region age i.sizplace i.hlthstat##i.race i.sex##c.bpsys##c.bpdias heartatk [pw=finalwgt] , nrtol( `=1e-3*`mw'' ) * this one converges, too, but probably to an inferior solution mlogit region age i.sizplace i.hlthstat##i.race i.sex##c.bpsys##c.bpdias heartatk [pw=finalwgt] , nonrtol I am running this as -mlogit ... [pw=weight]- rather than -svy : mlogit ... - so as to see the iteration history, as well as obtain the important -e(ll)- statistic. In my actual application, -mlogit ... [pw=weight]- converged, while -svy: mlogit ... - did not, so I also tried a different scaling of the -nrtol()- by setting it to something like abs(e(ll))*1e-5. -svy: mlogit ... - does not report e(ll). I would expect that the estimators, especially -svy-, would recognize that the pseudo-likelihood will be of the order -e(N_pop)- rather than -e(N)-, and hence the convergence criteria would be scaled accordingly. Does this make sense? Since -svy- is aware that the command it runs is a likelihood-based one (as evidenced by suppressed -e(ll)- statistic), it would probably want to redefine the -nrtol()-, or whichever option prevents the maximizer from declaring convergence. -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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: problems declaring convergence with weighted data?***From:*Steven Samuels <sjsamuels@gmail.com>

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