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Re: st: xtlogit: panel data transformation's recast to double makes model incomputable


From   Tom <tommedema@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit: panel data transformation's recast to double makes model incomputable
Date   Tue, 2 Apr 2013 19:36:31 +0200

Thanks everyone, your assistance is very much appreciated. I shall
answer all of your questions, but first some results using `clogit`
for a number of key variables showing important debug information.

As suggested, I have randomly removed 90% of the 8000 groups to
account for possible memory issues, leaving 800 groups left with
~400,000 observations. This did not seem to help though.

I worked on this today. I hope the following will give you folks some
hints on what is going wrong.

A) command: clogit depc_gpf30 close, group(ticker_id) showstep trace
     results (FAIL): http://pastebin.com/nHdd5EeS
     note: close is a highly right skewed price

B) command: clogit depc_gpf30 close_log, group(ticker_id) showstep trace
     results (FAIL): http://pastebin.com/jZhMyPLb
     note: close_log is the log transformation of close because close
is a highly right skewed variable

C) command: clogit depc_gpf30 close_ihs, group(ticker_id) showstep trace
     results (FAIL): http://pastebin.com/GF5raqhR
     note: close_ihs is the inverse hyperbolic sine transformation of
close because close is a highly right skewed variable (alternative to
log)

D) command: clogit depc_gpf30 close_g1 close_g4 close_g7 close_g15
close_g20 close_g30 close_g40 close_g50 close_g60 close_g70 close_g80
close_g90, group(ticker_id) showstep trace
     results (SUCCESS): http://pastebin.com/ru9euGGu
     note: at this point it still converges, but if I add one more
variable like in E things change.. (and this does not just happen with
this one variable, with others too)

E) command: clogit depc_gpf30 close_g1 close_g4 close_g7 close_g15
close_g20 close_g30 close_g40 close_g50 close_g60 close_g70 close_g80
close_g90 close_g100, group(ticker_id) showstep trace
     results (FAIL): http://tinypaste.net/WfSNqD76
     note: adding one more variables to D causes the issue, but it
does matter which variable. If I change close_g100 (the integer
denotes a lag in days) by e.g. close_g5, it does compute. However, the
problem is not limited to close_g100. For example, it also doesn't
work when I add close_g120. See the output of the same regression but
with close_g120 here: http://tinypaste.net/Aa69SrC1

Because there seems to be a difference between variables with lower
lags and variables with higher lags I have created summary statistics
for close_g5, close_g30, close_g100 and close_g120, please view them
here:

http://pastebin.com/9cfMiXQH

Moreover, it is a combination of the variables that causes this,
because the following works just fine:

F) command: clogit depc_gpf30 close_g100, group(ticker_id) trace showstep
    result: SUCCESS.. output omitted

So just using close_g100 or close_g120 causes no problems.

You might expect that E) follows from multicollinearity problems, but
as this does not seem to be the case, see this `collin` output:

http://pastebin.com/p9BRP6bf

To me these seem the most striking results, but I ask you to look at
the complete results too as I may have missed something.



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