Dear Stata list,
I would like to ask you if anyone knows what things I should look at
when my regressions don't converge (log likelihood function not
concave). They had been yielding very sensible results, and everything
converged after 2 or 3 iterations max... and all of a sudden now they
are not converging (or converge after 30+ or 50+ iterations).
I am running a Heckman selection model (shown below) and after this
non-converging story I started playing around with my equation and
noticed that my -lR- variable might be the one that's giving me trouble.
-lR- is ln(R), and -R- is generated as follows:
sort borrower indic signdate mtydate amount
by borrower: g R = _n
so -R- is the number of bonds issued by a particular borrower at each
different point in time. Now, when I remove -lR- from the equation,
things do converge quickly. I thought that perhaps it was a problem of
-lR- or -R- being correlated with something but that doesn't seem to be
the problem either... and besides, why did I not encounter this issue
before?
Any thoughts would be greatly appreciated.
Thank you,
Adrian
. heckman lspread lamount maturity g_usip1 lswap embi_sd crtg edtgdp
ggdp90 sd_xgrth bissht_t resimp bnkcrdst pub pub_finance pub_service
pub_utinfr priv priv_finance priv_service priv_utinfr lac yen mark euro
othcur bshare lR /*
> */if crtg<=50, /*
> */select (indic=g_usip1 lswap embi_sd crtg edtgdp tdsxgs ggdp90
sd_xgrth bissht_t resimp ressht bnkcrdst pub priv)
note: euro dropped due to collinearity
Iteration 0: log likelihood = -5507.0896 (not concave)
Iteration 1: log likelihood = -5507.0569 (not concave)
Iteration 2: log likelihood = -5507.0436 (not concave)
Iteration 3: log likelihood = -5506.9886 (not concave)
Iteration 4: log likelihood = -5506.9761 (not concave)
Iteration 5: log likelihood = -5506.9675 (not concave)
Iteration 6: log likelihood = -5506.9584 (not concave)
Iteration 7: log likelihood = -5506.9227 (not concave)
Iteration 8: log likelihood = -5506.9012 (not concave)
Iteration 9: log likelihood = -5506.8931 (not concave)
Iteration 10: log likelihood = -5506.8855 (not concave)
Iteration 11: log likelihood = -5506.8781 (not concave)
Iteration 12: log likelihood = -5506.8702 (not concave)
Iteration 13: log likelihood = -5506.8622 (not concave)
Iteration 14: log likelihood = -5506.8542 (not concave)
Iteration 15: log likelihood = -5506.846 (not concave)
Iteration 16: log likelihood = -5506.8376 (not concave)
Iteration 17: log likelihood = -5506.8291 (not concave)
Iteration 18: log likelihood = -5506.8205 (not concave)
Iteration 19: log likelihood = -5506.8117 (not concave)
...
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
