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| From | Nina YIN <yinnina.ccer@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: likihood function is not concave in clogit model |
| Date | Fri, 29 Jun 2012 10:52:31 +0200 |
Dear all, I have a purchasing data with more than 10000 observations over 20 products in 14 years. I am going to estimate the demand in conditional fixed logit model. To solve the endogeneity problem, I need to add product-year fixed effects. which implies 170 fixed effects should be included in the clogit estimation. The results turn out that estimates couldn't be achieved like this: --------- Iteration 327: log pseudolikelihood = -65789.386 (not concave) Iteration 328: log pseudolikelihood = -65789.386 (not concave) Iteration 329: log pseudolikelihood = -65789.386 (not concave) Iteration 330: log pseudolikelihood = -65789.386 (not concave) Iteration 331: log pseudolikelihood = -65789.386 (not concave) -------- If I simply use products fixed effects, the convergence could be achieved and estimates will return. I just don't get what's the problem in my model, several references could achieve convergence even with much higher dimension of fixed effects. But why I couldn't? Is it because of the data variation or my model specification? I am a beginner and lack of knowledge in many aspects. Please feel free to give me some advice! Thank you very much! -- Best Regards, Nina YIN Toulouse School of Economics Manufacture des Tabacs 21 Allee de Brienne Toulouse, 31000, France Tel: 0033-(0)5 6123 8348 * * 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/