I am having trouble estimating the following via ml. Specifically, I get
the familiar:
could not calculate numerical derivatives
flat or discontinuous region encountered
This is a d0 model of the (error corrrection) form:
d.y=b_0(l.y+b_1+b_2(x1)+b_3(x3))+b_4(d.x1)+b_5(d.x2)
Clearly, this model is nonlinear in the betas.
I cannot use nlreg since this is a panel dataset.
The model estimates correctly with
xtreg d.y y x1 x2 d.x1 d.x2, mle
but I want to easily recover the betas and associated standard errors.
Here is a snippet of my code (parts should look familiar!):
***********************************************************************
quietly {
gen double `z' = `depvar' +`deltas'-`phi'*($ML_y2-`thetas')
by `by': gen `last' = _n==_N
by `by': gen `T' = _N
by `by': gen double `Sum_z2' = sum(`z'^2)
by `by': gen double `Sumz_2' = sum(`z')^2
gen double `a' = `lnsigma_u'^2 / (`T'*`lnsigma_u'^2 + `lnsigma_e'^2)
mlsum `lnf' = -.5 *
((`Sum_z2'-`a'*`Sumz_2')/`lnsigma_e'^2+ln(`T'*`lnsigma_u'^2/`lnsigma_e'^2 + 1 )+`T'*ln(2*_pi*`lnsigma_e'^2)) if `last' == 1
}
end
set more off
global MY_panel id
ml model d0 ecrandom_d0 (dc=dy dpi) (lc=y pi, nocons) /phi /theta1
/theta2 /lnsigma_u /lnsigma_e
**********************************************************************************
Thanks for any help,
Ed
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