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Re: st: atrho0() in mvprobit

From   Maarten Buis <[email protected]>
To   [email protected]
Subject   Re: st: atrho0() in mvprobit
Date   Wed, 31 Aug 2011 09:55:02 +0200

On Tue, Aug 30, 2011 at 11:48 PM, Zhi Su wrote:
>  I estimate a five equation model using "mvprobit". And Stata return
> errors "could not calculate numerical derivatives flat or
> discontinuous region encountered".
>  Then I am thinking to set the starting values for the off-diagonal
> elements of the rho matrix. So I use "mvprobit" to estimate four among
> these five equations and get rho21, rho31, rho41, rho32,rho42, rho43
> from e(rhoij) .

The maximum likelihood function does not maximize with respect to rho
but with respect to the Fisher's z transformation of rho, so your
starting values should contain those. See e.g.: M.L. Buis (2011)
"Stata tip 97: Getting at rhos and sigmas", The Stata Journal, 11(2),
pp. 315-317.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen

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