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From | Tom <tommedema@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: xtlogit: panel data transformation's recast to double makes model incomputable |
Date | Tue, 2 Apr 2013 21:14:37 +0200 |
Hi Jay, Per request these are the results of the "offending IVs" alone: 1) clogit depc_gpf30 close_g100, group(ticker_id) gradient hessian trace showstep showtolerance http://pastebin.com/cMx7sCm6 2) clogit depc_gpf30 close_g120, group(ticker_id) gradient hessian trace showstep showtolerance http://pastebin.com/xgcud5QF 3) clogit depc_gpf30 close_g30, group(ticker_id) gradient hessian trace showstep showtolerance http://pastebin.com/d22GhCVF These also include the gradient, hessian and showtolerance options. This is real price data, I also verified it several times. There appear to be no mistakes in the data. Do you have an explanation why close_g100 would fail whereas close_g30 does not? If you look at the summary statistics you'll see that the close_g30 variable and close_g5 etc. are actually much more skewed and have higher variations. About the "bad answer", I don't think the answers given with the xtdate nodouble option were that bad, because the predictions were correct a considerable amount of times. If any more information is needed please ask.. I'm very much willing to solve this situation. Tom On Tue, Apr 2, 2013 at 8:06 PM, JVerkuilen (Gmail) <jvverkuilen@gmail.com> wrote: > It sounds like you're running into some kind of weird near but not > complete perfect prediction. If you look at the log-likelihoods in the > model they are frequently diverging: > >> From A: >> log likelihood = -8.99e+307 >> (initial step bad) > >> From A and E (different likelihoods of course): >> log likelihood = -235698.21 >> (backed up) > >> From B, C and E: >> log likelihood = -1.#INF >> (initial step bad) > > So these fail simply on the face of as the first one is essentially > diverged to -Infinity and the third has as well. The middle is bad, > too, as "backed up" means that the step wasn't an improvement. > > The IV that you want to use has some truly wicked properties. It is > quite possibly the most skewed variable I've seen in my career.... > > If you just run with the offending variables does it fail? When I say > "fail" I don't mean does it run to completion because that's a very > low standard, but do you get a ludicrous log-likelihood such as the > one there? Is the Hessian and parameter correlation matrix similarly > silly? I suspect it must be regardless of whether the model converges > or not. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/