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From |
Yashin <yashin5@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: Polychoric PCA error message |

Date |
Fri, 22 Feb 2013 18:50:34 -0500 |

Dear Statalisters, While executing polychoric PCA to produce an asset/wealth index, three iterations of the following message appeared: numerical derivatives are approximate nearby values are missing I understand that the first principal component should be the wealth index; it contains negative values, with proportion of explained variance = ~25%. Principal component analysis k | Eigenvalues | Proportion explained | Cum. explained ----+---------------+------------------------+------------------ 1 | 7.955020 | 0.248594 | 0.248594 Question: Are there any methods to double check that the procedure performed reasonably well and that I can use this 1st PC as an asset index? 25% explained variance and persistence of error messages suggest that I should be cautious. In case it helps, I have copied below a previous issue I have had with the same dataset,\ which led me to remove five variables, resulting in no zeros in correlation matrix. Thank you for any comments or suggestions! Yashin ________________________________ On Tue, 29 Jan 2013 22:05:25, Stas Kolenikov <skolenik@gmail.com> wrote: A zero cell means that the underlying two normal variables have a correlation of 1 -- or at least that's the maximum likelihood estimate. Visually, the normal distribution is degenerately concentrated on a line that passes outside of zero. With a correlation of 1, ML estimation breaks down: the maximizer runs out of the sample space, and produces missing values for negative definite matrices that have correlations > 1; and if a solution is claimed to exist, it can not stable, as we work with poorly defined matrices that are unstable to invert (in the sense of finite accuracy arithmetics). In your example, not only you have zero cells that make estimation of the correlations difficult; the small marginal proportions will not make -polychoric- very happy, either. Vika Savalei wrote about the existing tweaks (http://www.mat.ulaval.ca/fileadmin/Cours/STT-7620/Savalei11.pdf), but I don't have anything implemented in the code. ________________________________ On 29 January 2013 22:34, Yashin <yashin5@gmail.com> wrote: Dear Statalisters: I am trying to run polychoric PCA from Stas Kolenikov on a data subset (wealth index) that--pre-winnowing--has 32 dichotomous variables, four ordinal variables, and one continuous variable. I am getting the following error messages, repeated times: could not calculate numerical derivatives missing values encountered numerical derivatives are approximate nearby values are missing I found the following thread addressing this issue, http://www.stata.com/statalist/archive/2012-11/msg00826.html and similarly I also found that for those coefficients in the correlation matrix that are either zero or > 0.9, the 2x2 tables invariably have a cell with small numbers (usually 0, and in other cases 1, 2, 3 and in one case a 7). In this case, this would not be a structural zero but a sampling zero. I have related questions I am hoping someone might help shed light on: 1) When I examined the six 2x2 tables for variable pairs with correlation coefficients > 0.9, they did not appear to be highly correlated, and further, included one cell with 0 I'm copying a couple of examples below: . /* tabulate high correlation pairs */ . tab vacuum carpet | carpet vacuum | 0 1 | Total -----------+----------------------+---------- 0 | 21 835 | 856 1 | 0 342 | 342 -----------+----------------------+---------- Total | 21 1,177 | 1,198 . tab computer stove | stove computer | 0 1 | Total -----------+----------------------+---------- 0 | 12 1,033 | 1,045 1 | 0 146 | 146 -----------+----------------------+---------- Total | 12 1,179 | 1,191 2) When I run the polychoric with only the dichotomous variables, and then with the same variables plus the additional 5 variables described above (ordinal and continuous), I get different correlation coefficients in the correlation matrix for the same variable pairs. How could this be? Sometimes the values are similar and yet different, and in other cases the values are quite different (some of the correlations > 0.9 when binary, ordinal and continuous variables are included in the matrix become zero when only binary variables are included in the matrix). 3) To address the issue of 2x2's with zeros, one colleague suggested flattening in the previous thread ( http://www.stata.com/statalist/archive/2012-11/msg00829.html )--I wondered if there are other options. Many thanks for any thoughts! Yashin -- ysl * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Re: Polychoric PCA error message***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

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