st: Maximization never converges

["Pavlos C. Symeou" <p.symeou@jbs.cam.ac.uk>]

Dear Statalisters,

I am running a maximisation procedure based on Wang (2002, 2003) 
programme for the estimation of stochastic frontier models. The 
programme can estimate cross-sectional models and panel data models if, 
according to the author, one also includes firm-specific and 
time-specific dummies. Using my dataset, consisting of 144 countries and 
15 years, the log-likelihood after a number of iterations (say 50) takes 
a value which does not change over subsequent iterations (after more 
than 1500 iterations with no change I had to break the procedure). In 
addition, STATA 10 SE never finds a concave estimate Every single 
iteration is not concave. Do you have a way to overcome this problem? I 
have also used the -difficult- option but this has been unsuccessful. 
The command is -ml max, diff gtol(0.001) gradient-

Yours,

Pavlos


"A Stochastic Frontier Analysis of Financing Constraints on Investment: 
The Case of Financial Liberalization in Taiwan ," Journal of Business 
and Economic Statistics, 2003, 21(3), pp.406-419.

"Heteroscedasticity and Non-Monotonic Efficiency Effects of a Stochastic 
Frontier Model," Journal of Productivity Analysis, 2002, 18, pp.241-253
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