[Limdep Nlogit List] Need a kind help

Abdulbaki Bilgic tebrik at yahoo.com
Fri Apr 7 05:11:01 EST 2006


Dear Dr. Greene,
  Sorry for this silly mistake and is there any way to impose linear constraints to automated bivariate tobit model such as homogeneity or symmetry (i think symmetry restriction is okay with RST command) restrictions? So far i know there is not (CML does not work under automated bivariate tobit model).

William Greene <wgreene at stern.nyu.edu> wrote:
  Mr. Bilgic: I can't vouch for the code for the likelihood function.
But, you are using 0 and 0 for the starting values for the variances,
so it's for sure that you cannot compute the function at the starting
values. That is the source of the problems.
/B. Greene

************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY 10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: Abdulbaki Bilgic 
Date: Thursday, April 6, 2006 12:27 pm
Subject: [Limdep Nlogit List] Need a kind help

> Dear Limdep Users,
> I am estimating a bivariate tobit model with three switching 
> regimes: (y1>0, y2=0), (y1=0,y2>0), and (y1>0, y2>0). The last 
> term where both y1 and y2 greater than 0 is the conditional 
> distribution of y2 given y1 >0. I have written a code in Limdep 
> and got a error reporting a zero division and i have checked the 
> reference book it says a dependent variable problem and when 
> deleting the first observation, it gives the same problem too. Any 
> ideas please.
> 
> 
> CREATE ; IF(Y1 = 0 & Y2 =0)DUMMY1=1
> ; (ELSE) DUMMY1=0
> ; IF(Y1 > 0 & Y2 =0)DUMMY2=1
> ; (ELSE) DUMMY2=0
> ; IF(Y1 = 0 & Y2 >0)DUMMY3=1
> ; (ELSE) DUMMY3=0
> ; IF(Y1 > 0 & Y2 >0)DUMMY4=1
> ; (ELSE) DUMMY4=0 $
> NAMELIST ; X1 =ONE
> ; X2 =ONE $
> CALC ; LIST
> ; KA=COL(X1)
> ; KB=COL(X2)
> ; KC=KA+1 
> ; KD=KA+KB $
> MATRIX ; LIST
> ; CA=INIT(KA,1,.0)
> ; CB=INIT(KB,1,.0) $
> MAXIMIZE ; START =CA,CB,.0,.0,.0
> ; LABELS=KA_BA, KB_BB,SIGM1,SIGM2,RHO12
> ; FCN=TA1 =LOG((1+RHO12)/(1-RHO12)) |
> RHO12 =(EXP(TA1)-1)/(EXP(TA1)+1) |
> SG1 =1/(SIGM1*(SQR(1-RHO12^2))) | 
> SG2 =1/(SIGM2*(SQR(1-RHO12^2))) |
> SG3 =1/(SIGM2^2*(SQR(1-RHO12^2))) |
> ETA1 =1/(2*SIGM1^2) |
> ETA2 =1/(2*SIGM2^2) |
> ETRHO1 =RHO12*(SIGM1/SIGM2) |
> ETRHO2 =RHO12*(SIGM2/SIGM1) |
> RHOSQ =(1-RHO12^2) |
> INDEX1 =BA1'X1 |
> INDEX2 =BB1'X2 |
> ERROR1 =Y1-INDEX1 |
> ERROR2 =Y2-INDEX2 |
> INDX1 =INDEX1+ETRHO1*ERROR2 |
> INDX2 =INDEX2+ETRHO2*ERROR1 |
> INDXX1 =-SG1*INDX1 |
> INDXX2 =-SG2*INDX2 |
> DUMMY2*(-0.5*LOG(2*PI)-LOG(SIGM1)-ETA1*ERROR1^2+LOG(PHI(INDXX2)))+
> DUMMY3*(-0.5*LOG(2*PI)-LOG(SIGM2)-ETA2*ERROR2^2+LOG(PHI(INDXX1)))+
> DUMMY4*(-0.5*LOG(2*PI)-LOG(SIGM1)-ETA1*ERROR1^2-2*LOG(SIGM2)
> -0.5*LOG(RHOSQ)-SG3*(Y2-INDX2)^2) 
> ; ALG=N 
> ; TLF=1.D-8
> ; TLG=1.D-4
> ; SET $
> 
> Output is:
> Error 590: Obs.= 1 Cannot compute function: Zero_dvd
> Warning 137: Iterations: function not computable at crnt. trial 
> estimate Error 802: Cannot compute function at start values. Exit 
> status=4. Function= .36023626764D+05, at entry, .00000000000D+00 
> at exit
> +---------------------------------------------+
> | User Defined Optimization |
> | Maximum Likelihood Estimates |
> | Model estimated: Apr 06, 1999 at 04:18:24PM.|
> | Dependent variable Function |
> | Weighting variable None |
> | Number of observations 22344 |
> | Iterations completed 0 |
> | Log likelihood function .0000000 |
> | Number of parameters 0 |
> | Info. Criterion: AIC = .00000 |
> | Finite Sample: AIC = .00000 |
> | Info. Criterion: BIC = .00000 |
> | Info. Criterion:HQIC = .00000 |
> +---------------------------------------------+
> +---------+--------------+----------------+--------+---------+
> |Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] |
> +---------+--------------+----------------+--------+---------+
> BA1 .000000 1.00000000 .000 1.0000
> BB1 .000000 1.00000000 .000 1.0000
> SIGM1 .000000 1.00000000 .000 1.0000
> SIGM2 .000000 1.00000000 .000 1.0000
> RHO12 .000000 1.00000000 .000 1.0000
> 
> Best regards,
> 
> 
> 
> 
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