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st: error message with ml maximization


From   "Hui Wang" <[email protected]>
To   [email protected]
Subject   st: error message with ml maximization
Date   Mon, 20 Feb 2006 01:46:56 +0000

Hey, I wrote a little do file to estimate a simutanous equation system with switch regime and get the following error message:

*************************************************************************

initial: log likelihood = -<inf> (could not be evaluated)
feasible: log likelihood = -38722.421
rescale: log likelihood = 95133.127
rescale eq: log likelihood = 230929.35
could not calculate numerical derivatives
discontinuous region with missing values encountered
r(430);

end of do-file
r(430);

*************************************************************************************

Here is my code.

*************************************************************************************

capture program drop myml
program myml
version 8.0
args lnf theta1 theta2 lamda alpha1 beta1 beta3 sigma1 sigma2 sigma12

tempvar u1 u21 u22 r T1 T2 Badet f
quietly {
gen double `u1' = $ML_y1 - `theta1' - `alpha1'*lp
gen double `u21' = $ML_y2 - `theta2' - `beta1'*lq
gen double `u22' = $ML_y3 - `theta2' - `beta1'*lq - `beta3'
gen double `r' = `sigma12'/(`sigma1'*`sigma2')
gen double `T1' = ((`u1'/`sigma1')^2-2*`r'*(`u1'/`sigma1')*(`u21'/`sigma2')+(`u21'/`sigma2')^2)/(2*(1-`r'^2))
gen double `T2' = ((`u1'/`sigma1')^2-2*`r'*(`u1'/`sigma1')*(`u22'/`sigma2')+(`u22'/`sigma2')^2)/(2*(1-`r'^2))
gen double `Badet' = abs(1-`alpha1'*`beta1')
gen double `f' = `Badet'*(`lamda'*exp(-`T1')+(1-`lamda')*exp(-`T2'))/(2*_pi*`sigma1'*`sigma2'*(1-`r'^2)^.5)
replace `lnf' = log(`f')
}
end

ml model lf myml (demand: lq = lakes md*) (supply: lp = dm* md*) /lamda /alpha1 /beta1 /beta3 /sigma1 /sigma2 /sigma12
ml maximize


***************************************************************************************************************************************************

Could anyone give me some idea about what is going wrong? Thanks a lot!



Best,

Luhang

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