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Re: st: PMG Estimators


From   Gordon Hughes <G.A.Hughes@ed.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: PMG Estimators
Date   Thu, 23 Aug 2012 11:02:40 +0100

As Nick has pointed out, you have not provided anything close to sufficient information for respondents to provide much in the way of useful assistance.

To provide the context: -xtpmg- is a user-written command that relies upon the Stata maximum likelihood procedure -ml-. Infeasible starting values for maximum likelihood procedures are difficult to deal with under the best of circumstances. Hence, you will need to consider in detail why they might have arisen or what can be done. For example, are there missing or extreme values in your data or is the data ill-conditioned (collinearity)? Does the problem arise with a simpler model?

More generally, you cannot treat a procedure like this as a black box. You may have to look at the details of the xtpmg.ado file and then modify it to create a version that works for you. Many -ml- procedures allow the from() option to specify starting values rather than allowing the program to generate them. It is not clear whether this is possible with -xtpmg- since the help file seems to be contradictory, but you can change the manner in which the procedure creates its starting values.

Finally, I note that there is a Stata Journal article linked to the procedure as well as a variety of estimation options which may not suffer from the same problem. There are also other user-written procedures which estimate mean group models - e.g. -xtmg- written by Marcus Eberhardt and which is not based on use of -ml-.

Gordon Hughes
g.a.hughes@ed.ac.uk

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