error obtaining scores for robust variance

[Emanuela Struffolino]

Dear all,

I am teaching to students who are using STATA 17 and I have STATA 16 on my machine.

Weirdly enough, when estimating a model using "mixed" and specifying

mixed y x1 x2 x3 || id:, nocon res(ar6,t(t)) stddev robust

I get correct results, while they get the error message "error obtaining scores for robust variance".

Any ideas on what happened between STATA 16 and 17 that might affect this?

Thank you!

[Clyde Schechter]

I wonder if this discrepancy is somehow related to the specific data. You show only an abstract command, so I cannot try to replicate exactly what you did. When I try the same approach using the grunfeld.dta, on version 17, it runs just fine:

. webuse grunfeld

. mixed mvalue kstock invest time || company:, nocon res(ar6, t(year)) stddev robust

Obtaining starting values by EM ...

Performing gradient-based optimization:
Iteration 0:   log pseudolikelihood = -1579.5777  (not concave)
Iteration 1:   log pseudolikelihood = -1507.9028  (not concave)
Iteration 2:   log pseudolikelihood = -1438.5601  (not concave)
Iteration 3:   log pseudolikelihood = -1426.4213  
Iteration 4:   log pseudolikelihood = -1413.0009  
Iteration 5:   log pseudolikelihood = -1409.7346  
Iteration 6:   log pseudolikelihood = -1409.2966  
Iteration 7:   log pseudolikelihood = -1409.2838  
Iteration 8:   log pseudolikelihood = -1409.2838  

Computing standard errors ...

Mixed-effects regression                        Number of obs     =        200
Group variable: company                         Number of groups  =         10
                                                Obs per group:
                                                              min =         20
                                                              avg =       20.0
                                                              max =         20
                                                Wald chi2(3)      =     370.36
Log pseudolikelihood = -1409.2838               Prob > chi2       =     0.0000

                               (Std. err. adjusted for 10 clusters in company)
------------------------------------------------------------------------------
             |               Robust
      mvalue | Coefficient  std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
      kstock |  -.9089089    .624258    -1.46   0.145    -2.132432    .3146143
      invest |   3.838094   1.016067     3.78   0.000     1.846638    5.829549
        time |   11.79285   9.994212     1.18   0.238     -7.79544    31.38115
       _cons |   668.1245   251.9903     2.65   0.008     174.2325    1162.017
------------------------------------------------------------------------------

------------------------------------------------------------------------------
                             |               Robust           
  Random-effects parameters  |   Estimate   std. err.     [95% conf. interval]
-----------------------------+------------------------------------------------
company:             (empty) |
-----------------------------+------------------------------------------------
Residual: AR(6)              |
                        phi1 |    .579824   .2024835      .1829636    .9766843
                        phi2 |  -.1020932   .0272441     -.1554906   -.0486958
                        phi3 |   .1150155   .0708875     -.0239215    .2539524
                        phi4 |   .3248284   .1283233      .0733195    .5763374
                        phi5 |  -.2723966   .0740986     -.4176271   -.1271662
                        phi6 |   .3360378   .1141125      .1123814    .5596942
                       sd(e) |   827.5843   228.0541      482.2253    1420.282
------------------------------------------------------------------------------



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Stata/MP 17.0 for Windows (64-bit x86-64)
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               Albert Einstein College of Medicine