> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Vartia, Niini
> Sent: 27 February 2004 13:51
> To: [email protected]
> Subject: st: Pgmhaz - Convergence
>
>
> Hi!
>
> I am using the Jenkins pgmhaz procedure to estimate a
> discrete time non-parametric proportional hazard model. I
> would like to ask about the estimation of the second model.
> During the iteration process I have received different
> messages: unproductive step attempted and nonconcave function
> encountered, but in the end the convergence has been
> achieved. However, when I run a slightly different
> specification I now receive the following error message:
> pgm_ll does not compute a continuos nonconstant function/
> could not calculate numerical derivatives. Does this imply
> that there was no convergence? What is the best way to
> proceed in such case?
Please check the Statalist archives before posting questions like this.
A very similar question was answered before -- please see below
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Jenkins S P
> Sent: 10 October 2003 23:15
> To: [email protected]
> Subject: Re: st: pgmhaz convergence (hazard functions)
>
>
> On Fri, 10 Oct 2003, Monica L. Parra Torrado wrote:
>
> > Dear Stata List,
> > I am running the Jenkins porcedure pgmhaz with non parametric
> > estimation of the baseline hazard, i.e., I am including
> weekly dummies
> > instead of "log(seqvar)" However, it has run for 120 hours and 35
> > iterations and has not come up with any result yet. After the last
> > ten iterations it has been displaying the message
> "unproductive step
> > attempted". Does this mean it will not converge? I have run this
> > model with diferent specifications and although this
> message appeared
> > sometimes, it did converge. How can I know that the
> maximization will
> > not converge? Does Stata give up at any moment? Shall I wait till
> > then? Or does stata keep trying forever? What should I do?
>
> Be patient, perhaps.
>
> The program often runs (very) slowly, given use of numerical
> derivatives, and the relatively large size of social science
> data sets. Moreover the likelihood surface is not globally
> concave, so convergence problems can be common, especially
> when one specifies a non-parametric baseline hazard. (Ensure
> too that you have events at each and every interval.) It is
> often a good idea to run -pgmhaz- with the -trace- option on
> so that you can see if there are any problematic parameters.
> (E.g. the program trying to force the gamma variance towards
> zero, i.e. log variance towards a large negative number?)
> ... hence maybe experiment with different starting values for
> the (log) gamma variance. All this is mentioned in the
> original STB article, a version of which is available (in MS
> Word) from my Survival Analysis Using Stata webpages.
>
> good luck Stephen
>
> PS -pgmhaz- stands for Prentice-Gloeckler-Meyer HAZard
> regression, after the original proposers of the model --
> there is no J in it. (PG for the grouped data proportional
> hazards model; M for adding in gamma distributed unobserved
> heterogeneity.)
Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374. Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
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