Re: st: PMG Estimators

[Gordon Hughes <G.A.Hughes@ed.ac.uk>]

As Nick has pointed out, you have not provided anything close to 
sufficient information for respondents to provide much in the way of 
useful assistance.

To provide the context: -xtpmg- is a user-written command that relies 
upon the Stata maximum likelihood procedure -ml-.  Infeasible 
starting values for maximum likelihood procedures are difficult to 
deal with under the best of circumstances.  Hence, you will need to 
consider in detail why they might have arisen or what can be 
done.  For example, are there missing or extreme values in your data 
or is the data ill-conditioned (collinearity)?  Does the problem 
arise with a simpler model?

More generally, you cannot treat a procedure like this as a black 
box.  You may have to look at the details of the xtpmg.ado file and 
then modify it to create a version that works for you.  Many -ml- 
procedures allow the from() option to specify starting values rather 
than allowing the program to generate them.  It is not clear whether 
this is possible with -xtpmg- since the help file seems to be 
contradictory, but you can change the manner in which the procedure 
creates its starting values.

Finally, I note that there is a Stata Journal article linked to the 
procedure as well as a variety of estimation options which may not 
suffer from the same problem.  There are also other user-written 
procedures which estimate mean group models - e.g. -xtmg- written by 
Marcus Eberhardt and which is not based on use of -ml-.

Gordon Hughes
g.a.hughes@ed.ac.uk

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