st: MLE - numerical derivatives problem

[Jason DeBacker <debacker@eco.utexas.edu>]

Hi Statalisters,

I'm having trouble with the estimation of a non-linear likelihood 
function on panel data.  My program passes all the tests in ml check 
and goes through ml seach, but in ml max I get the following error:
"could not calculate numerical derivatives
flat or discontinuous region encountered"

The model I'm trying to estimate is in Groseclose, Levitt, and Snyder's 
1999 article in the APSR.  I think the problem might be that since 
there are a lot of dummy variables in the model and each one seldom 
takes on a value other than zero (at most a particular dummy variable = 
1 in only 1% of the obs), there are problems calculating the numerical 
derivatives.  I've been able to estimate a simplified version of the 
model when I have dummy variables that takes on a value of one 50% of 
the time.

Does it sound like I have a correct diagnosis of the problem?  
Suggestions to fix this?

I'd like to run this in Stata so I could get standard errors more 
easily, but I have started writing a Matlab program to do the 
estimation.  Additionally, Matlab is a bit cumbersome with the number 
of dummy variables I have (over 2500).  Will Matlab be able to estimate 
the model faster than Stata?

Thanks very much for any help.

Sincerely,
Jason

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