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


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit: panel data transformation's recast to double makes model incomputable
Date   Wed, 3 Apr 2013 08:13:14 -0400

On Wed, Apr 3, 2013 at 7:54 AM, Tom <tommedema@gmail.com> wrote:
> I understand what you mean. Note that I did not use any of these other
> models until unexpected computational problems appeared.

This is crazily simple but try rescaling the relevant price data. I
forget what the scale of them is, but try dividing them by, say, 1000.
The QR decomposition which is used computationally effectively does
this, but your horribly skewed and massively differently scaled data
may well be overwhelming even it.

That said, I'm with Nick. This problem needs a major rethink. There
are simply too many levers being pulled right now to get a believable
answer. Even if a model converges it is still got the attached funk of
all the troubleshooting and tricks you needed to do to make things
work.

In order:

-Regenerate the data file "clean". Make sure all variables are scaled
appropriately and candidate transformations are chosen. (e.g., with
price data, log transform). This rules out mistakes or problems with
the datafile.
-Then lay out the model assumptions and framework.
-Then fit candidate models in a predictable sequence.

You may well have done a lot of this, but going back to square one and
checking in sequence will help nail down what the problem is. You may
well end up back where you started, but the effort will not be wasted.
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