Re: st: reoprob claims to have no observations

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

I guess, Nick was right, again. I just realized that I had not 
downloaded the update by Guillaume R. Frechette (May 2001, Stata 
Technical Bulletin, 61, p. 12: 
http://www.stata.com/products/stb/journals/stb61.pdf), which deals with 
unexpected abortions of maximization. With the update installed, the 
program runs like a charm. Hope this helps.
Best, Ben

On 05/09/2011 14:24, Nick Cox wrote:
> -reoprob-'s code suggests that it ignores missings in a standard way,
> and it is a wrapper for -oprobit- which would do that too. So,
> although it's good that you got results, my hunch is that the
> explanation lies elsewhere.
>
> Nick
>
> On Mon, Sep 5, 2011 at 1:06 PM, Benjamin Volland<volland@econ.mpg.de>  wrote:
> > 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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