Re: st: reoprob claims to have no observations

[Benjamin Volland <volland@econ.mpg.de>]

Dear statalisters,

just in case anyone runs into similar problems, I wanted to post that 
the "solution" to the problem described below, was in the end fairly 
simple. $indepvar contains the lagged dependent variable, which is 
(naturally) missing for the first observation. Once I deleted the first 
observation for each unit of analysis reoprob ran without a problem. 
Hence, my hunch is that reoprob cannot deal with missing values. Hope 
this helps.

Best, Ben

On 30/08/2011 15:04, Benjamin Volland wrote:
> Dear statalisters,
>
> I'm currently trying to run a dynamic ordered probit random effects
> panel estimation as suggested by Woolridge (2005, Journal of Applied
> Econometrics, Vol. 20 (1), pp. 39-54).
> I therefore make use of the reoprob command written by Guillaume
> Frechette (2001, Stata Technical Bulletin, Vol. 10 (59), pp. 23-27).
> I am using Stata version 10.1.
> The panel is unbalanced (between 5 and 12 observations per unit of
> observation). The dependent has 12 steps. The independents contain the
> LDV, a number of controls (mostly dummies), plus the initial value of
> the dependent and the mean values of all independents (as suggested by
> Woolridge). I run a simple pooled ordered probit model up front to
> identify all variables that may cause problems of multicollinearity
> (e.g. the mean values of sex and race are the same as the actual values
> of sex and race). These are dropped before the reoprob estimation, which
> looks like this:
>
> . reoprob foodc $indepvar $meanvarfood $ofoodvar firstfoodc, i(pid)
>
> The program then (w/out any problem) runs through the constant-only model
>
> . Fitting constant-only model:
>
> . Iteration 0: log likelihood = -28629.788
> . Iteration 1: log likelihood = -26312.933
> . Iteration 2: log likelihood = -26271.232
> . Iteration 3: log likelihood = -26269.137
> . Iteration 4: log likelihood = -26269.133
> . Iteration 5: log likelihood = -26269.133
>
> but after the first iteration of the full model, stata tells me that
> there are no observations
>
> . Fitting full model:
>
> . Iteration 0: log likelihood = -23495.781 (not concave)
> . no observations
> . r(2000);
>
> Interestingly, when I specify the - trace - option it also performs
> Iteration 1 before returning the same error code.
> - xtreg ..., re - runs w/out problems (so does the user-written command
> xtabond2 [Roodman]).
> Does anyone have a suggestion how I could fix this?
>
> Thanks so much, Ben
>
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