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From |
"Li, Shaling (lis1)" <[email protected]> |

To |
<[email protected]> |

Subject |
st: Why does TRUNCREG cannot find the MLE estimate? |

Date |
Sat, 3 Sep 2005 22:00:38 +0100 |

Dear Statalist members, I use TRUNCREG command to run regression with truncated sample. My regression is to regress return on deps, a bivariate regression. Return is right-skewed with a fat tail and deps is left-skewed also with a fat tail. Model: Return = a+ b*deps + error ; Truncation point: return = 0; My command is "truncreg return deps, ll(0)" and "truncreg return deps, ul(0)" For the right-truncated sample, it works well and produce the same results as I could get from SAS. But for the left-truncated sample, STATA shows that it "could not calculate numerical derivatives, missing values encountered" (showed below). SAS also fails to generate any stable results for the left-truncated sample (either fail to generate a result as does STATA, or generate random results). For my research design, it would be very difficult to interpret the coefficient if I transform both variables into variables more close to normal distribution. I tried to use option (robust, or bootstrap) to control the deviation from normality of the variables but STATA still could not work it out. How to solve this problem? Thanks in advance Variable Obs Mean Std. Dev. Min Max return 75602 .0730425 .5803403 -.8676471 3.823529 deps 75602 .0048605 .1726828 -1.312448 .3449057 Report from STATA truncreg return deps, ll(0) (note: 19778 obs. truncated) Fitting full model: Iteration 0: log likelihood = -12310.067 Iteration 1: log likelihood = -5697.8827 Iteration 2: log likelihood = -5401.2288 Iteration 3: log likelihood = -5369.5397 Iteration 4: log likelihood = -5363.2702 (not concave) Iteration 5: log likelihood = -5349.9794 (not concave) Iteration 6: log likelihood = -5348.4234 ....... Iteration 50: log likelihood = -4851.4588 (not concave) numerical derivatives are approximate nearby values are missing numerical derivatives are approximate nearby values are missing Iteration 51: log likelihood = -4851.4588 (not concave) numerical derivatives are approximate nearby values are missing numerical derivatives are approximate nearby values are missing Iteration 52: log likelihood = -4851.4588 (not concave) could not calculate numerical derivatives missing values encountered r(430); . * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: Why does TRUNCREG cannot find the MLE estimate?***From:*"Scott Merryman" <[email protected]>

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