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From |
Jorge Eduardo Pérez Pérez <[email protected]> |

To |
<[email protected]> |

Subject |
st: Integer log likelihoods |

Date |
Wed, 13 Apr 2011 12:39:42 -0400 |

Dear Statalist, I am trying to estimate an unobserved components time series model using the Kalman Filter. I am using Stata MP 11.2. My model is non-stationary and a little ill conditioned, so I expected optimization problems. However, I am getting rather strange results: log likelihoods become integer after a few iterations ! I am using the -diff- option in the optimization. If I don't use it, the problem does not arise. Here is the code and some of the output. I was not able to reproduce the problem with a Stata dataset. constraint drop _all constraint 1 [mu]l.mu=1 constraint 2 [lc1]l.c1=1 constraint 3 [dlrgdp]mu=1 constraint 4 [dlrgdp]c1=1 foreach x in "Argentina" { sspace (mu l.mu e.mu, state noconstant) (c1 l.c1 l.lc1 e.c1, state noconstant) (lc1 l.c1, state noconstant) (dlrgdp mu c1 e.dlrgdp) if country=="`x'", covstate(identity) constraints(1/4) diff } Iteration 0: log likelihood = 106.07584 Iteration 1: log likelihood = 106.37785 Iteration 2: log likelihood = 106.37786 (backed up) Iteration 3: log likelihood = 106.37786 (backed up) Iteration 4: log likelihood = 106.37787 (backed up) (switching technique to nr) Iteration 5: log likelihood = 106.37787 (not concave) Iteration 6: log likelihood = 106.84663 (not concave) Iteration 7: log likelihood = 108.23049 (not concave) Iteration 8: log likelihood = 144 (not concave) Iteration 9: log likelihood = 416 (not concave) Iteration 10: log likelihood = 416 (not concave) Iteration 11: log likelihood = 416 (not concave) Iteration 12: log likelihood = 416 (not concave) Iteration 13: log likelihood = 244 (not concave) I think I should submit this to Tech Support, but I wanted to see if somebody had suggestions on this matter. _______________________ Jorge Eduardo Pérez Pérez * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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