Re: st: Maximization never converges

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

Dear Maarten,

thank you for the reply.

The model does not converge if I leave out the firm and time dummies, 
unless I also reduce the number of variables in the model. However, 
reduction of the number of variables puts my model in the risk of 
misspecification. In addition, since I want the model to exploit the 
panel data information, I cannot keep firm-specific and time-specific 
effects out, either. I have followed your suggestions below and have 
found no problems with my data.

Sometimes when I break the estimation (since after a large number of 
iterations my model does not converge and coefficients do not confront 
to concavity) STATA gives me the following "Hessian has become unstable 
or asymmetric (D)".

Is there anything else that I could do?

Maarten buis wrote:

> --- "Pavlos C. Symeou" <p.symeou@jbs.cam.ac.uk> wrote:
>   
> > 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?
> >     
> Does the model converge if you leave out the firm and time dummies?
> Also have a look at a cross tabulation of firm v. time and see if there
> are sparse or empty cells. Similarly have a look at a cross tabulation
> or conditinal means of these dummies with the other explanatory
> variables.
>
> Hope this helps,
> Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
>       ___________________________________________________________ 
> Want ideas for reducing your carbon footprint? Visit Yahoo! For Good  http://uk.promotions.yahoo.com/forgood/environment.html
> *
> *   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/
>
>   
*
*   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/