--- "Pavlos C. Symeou" <[email protected]> wrote:
> I am running a maximisation procedure based on Wang (2002, 2003)
> programme for the estimation of stochastic frontier models. The
> programme can estimate cross-sectional models and panel data models
> if, according to the author, one also includes firm-specific and
> time-specific dummies. Using my dataset, consisting of 144 countries
> and 15 years, the log-likelihood after a number of iterations (say
50)
> takes a value which does not change over subsequent iterations (after
> more than 1500 iterations with no change I had to break the
> procedure). In addition, STATA 10 SE never finds a concave estimate
> Every single iteration is not concave. Do you have a way to overcome
> this problem?
Does the model converge if you leave out the firm and time dummies?
Also have a look at a cross tabulation of firm v. time and see if there
are sparse or empty cells. Similarly have a look at a cross tabulation
or conditinal means of these dummies with the other explanatory
variables.
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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