Dear Stata users,
I am running into a problem when I need to conduct maximum likelihood
estimates
on subsamples of the data. I use "if" option in ml model and run loops
over different
subsamples.
My problem is as follows.
The model converges in general when I run it on different subsamples one
by one
(entered manually). However, in order to automatize the procedure, I use
loops -
and get estimates only for the first subsample of data. when the program
moves on to the second
subsample, error message 430 "missing values encountered" is displayed.
However,
the model converges if I start with second subsample but will not
converge for the third, fourth, fifth etc.
does anyone know what the reson for the problem might be?
ML code:
program pin_lf_02
version 1.2
args lnf x y l k
tempvar mu eps alpha delta P1 P2 P3 P4
quietly {
gen double `eps'=exp(`x')
gen double `mu'=exp(`y')
gen double `alpha'=1/(1+exp(-`l'))
gen double `delta'=1/(1+exp(-`k'))
gen double `P1'= - `eps' + $ML_y1*ln(`eps') - lngamma($ML_y1 + 1)
gen double `P2'= - `eps' + $ML_y2*ln(`eps') - lngamma($ML_y2 + 1)
gen double `P3'= -(`mu'+`eps') + $ML_y2*ln(`mu'+`eps') -
lngamma($ML_y2 + 1)
gen double `P4'=-(`mu'+`eps')+ $ML_y1*ln(`mu'+`eps') -
lngamma($ML_y1 + 1)
replace
`lnf'=ln(exp(ln(1-`alpha')+`P1'+`P2')+exp(ln(`alpha')+ln(`delta')+`P1'+`P3')+exp(ln(`alpha')+ln(1-`delta')+`P4'+`P2'))
}
end
forvalues q = 1/20 {
forvalues p = 528/537 {
ml model lf pin_lf_02 (x: buy sell = ) (y: buy sell = ) (l: buy sell =
) (k: buy sell = ) if (((monthyear==`p') | (monthyear==`p'+1) |
(monthyear==`p'+2))&(num1==`q')), missing technique(nr bhhh)
ml init /x = 3 /y = 3 /l = 0 /k = 0
* ml check
ml search x -1 6 y -1 5 l -3 3 k -3 3
* ml search
ml maximize, difficult
mat beta`p' = e(b)
replace x1 = el(beta`p',1,1) if (monthyear==`p'+2) & (num1==`q')
replace y1 = el(beta`p',1,2) if monthyear==`p'+2 & (num1==`q')
replace l1 = el(beta`p',1,3) if monthyear==`p'+2 & (num1==`q')
replace k1 = el(beta`p',1,4) if monthyear==`p'+2 & (num1==`q')
}
}
--
________________________________
<br>
Olga Lebedeva
<br>
PhD - Candidate in Finance <br>
Universität Mannheim <br>
L9, 1-2 (Zimmer 404), 68131 Mannheim <br>
Tel: 0621-181-2278
*
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