Dear STATALISTERS,
I have a non-linear model that I am estimating using ml in STATA. My model converges, but I get a negative standard deviation (sigma) value. I have copied my code below.
1) Is the negative sigma an indication of something fundamentally wrong with my model?
2) Can a restriction be imposed to get positive sigma? How would you go about doing this?
I will really appreciate your advice!
warm regards,
Sam
cap program drop mynonlin_lf7
program mynonlin_lf7
version 14.2
args todo b lnfj
tempvar xb alpha theta kr a1 a2 a3 a4 a5 beta g1 g2 g3 g4 sigma hc hw hi yr d1 d2 d3 d4 d5 d6 d7 d10 d11
qui gen double `alpha' = `b'[1,1]
qui gen double `theta' = `b'[1,2]
qui gen double `kr' = `b'[1,3]
qui gen double `a1' = `b'[1,4]
qui gen double `a2' = `b'[1,5]
qui gen double `a3' = `b'[1,6]
qui gen double `a4' = `b'[1,7]
qui gen double `beta' = `b'[1,8]
qui gen double `g1' = `b'[1,9]
qui gen double `g2' = `b'[1,10]
qui gen double `g3' = `b'[1,11]
qui gen double `g4' = `b'[1,12]
qui gen double `sigma' = `b'[1,13]
qui gen double `hc' = `b'[1,14]
qui gen double `hw' = `b'[1,15]
qui gen double `hi' = `b'[1,16]
qui gen double `yr' = `b'[1,17]
qui gen double `a5' = `b'[1,18]
qui gen double `d1' = `b'[1,19]
qui gen double `d2' = `b'[1,20]
qui gen double `d3' = `b'[1,21]
qui gen double `d4' = `b'[1,22]
qui gen double `d5' = `b'[1,23]
qui gen double `d6' = `b'[1,24]
qui gen double `d7' = `b'[1,25]
qui gen double `d10' = `b'[1,26]
qui gen double `d11' = `b'[1,27]
qui gen double `xb' = `alpha'*`theta'*(prrn+ (-1)*2.5*invlogit(`kr')*prrn-`a1'*wrl-`a2'*wrk-`a3'*wro-`a4'*wimpr-`a5'*inventoryr) +/*
*/ (1-`alpha')*`beta'* (`g1'*wfl+`g2'*wfk+`g3'*wfi+`g4'*infection) +`hc'*chafra+`hw'*wilma+`hi'*irma +`yr'*tn +`d1'*m1 +`d2'*m2+`d3'*m3 +`d4'*m4 +`d5'*m5 +`d6'*m6 +`d7'*m7 +`d10'*m10 +`d11'*m11
qui replace `lnfj'= -ln(`sigma')+ ln(normalden((pfrn-`xb')/`sigma'))
end
ml model gf0 mynonlin_lf7 /alpha /theta /kr /a1 /a2 /a3 /a4 /a5 /beta /g1 /g2 /g3 /g4 /sigma /hc /hw /hi /yr /d1 /d2 /d3 /d4 /d5 /d6 /d7 /d10 /d11 , vce(robust) technique (bfgs)
ml init /alpha =0.5 /kr =0.5
ml maximize , difficult
I have a non-linear model that I am estimating using ml in STATA. My model converges, but I get a negative standard deviation (sigma) value. I have copied my code below.
1) Is the negative sigma an indication of something fundamentally wrong with my model?
2) Can a restriction be imposed to get positive sigma? How would you go about doing this?
I will really appreciate your advice!
warm regards,
Sam
cap program drop mynonlin_lf7
program mynonlin_lf7
version 14.2
args todo b lnfj
tempvar xb alpha theta kr a1 a2 a3 a4 a5 beta g1 g2 g3 g4 sigma hc hw hi yr d1 d2 d3 d4 d5 d6 d7 d10 d11
qui gen double `alpha' = `b'[1,1]
qui gen double `theta' = `b'[1,2]
qui gen double `kr' = `b'[1,3]
qui gen double `a1' = `b'[1,4]
qui gen double `a2' = `b'[1,5]
qui gen double `a3' = `b'[1,6]
qui gen double `a4' = `b'[1,7]
qui gen double `beta' = `b'[1,8]
qui gen double `g1' = `b'[1,9]
qui gen double `g2' = `b'[1,10]
qui gen double `g3' = `b'[1,11]
qui gen double `g4' = `b'[1,12]
qui gen double `sigma' = `b'[1,13]
qui gen double `hc' = `b'[1,14]
qui gen double `hw' = `b'[1,15]
qui gen double `hi' = `b'[1,16]
qui gen double `yr' = `b'[1,17]
qui gen double `a5' = `b'[1,18]
qui gen double `d1' = `b'[1,19]
qui gen double `d2' = `b'[1,20]
qui gen double `d3' = `b'[1,21]
qui gen double `d4' = `b'[1,22]
qui gen double `d5' = `b'[1,23]
qui gen double `d6' = `b'[1,24]
qui gen double `d7' = `b'[1,25]
qui gen double `d10' = `b'[1,26]
qui gen double `d11' = `b'[1,27]
qui gen double `xb' = `alpha'*`theta'*(prrn+ (-1)*2.5*invlogit(`kr')*prrn-`a1'*wrl-`a2'*wrk-`a3'*wro-`a4'*wimpr-`a5'*inventoryr) +/*
*/ (1-`alpha')*`beta'* (`g1'*wfl+`g2'*wfk+`g3'*wfi+`g4'*infection) +`hc'*chafra+`hw'*wilma+`hi'*irma +`yr'*tn +`d1'*m1 +`d2'*m2+`d3'*m3 +`d4'*m4 +`d5'*m5 +`d6'*m6 +`d7'*m7 +`d10'*m10 +`d11'*m11
qui replace `lnfj'= -ln(`sigma')+ ln(normalden((pfrn-`xb')/`sigma'))
end
ml model gf0 mynonlin_lf7 /alpha /theta /kr /a1 /a2 /a3 /a4 /a5 /beta /g1 /g2 /g3 /g4 /sigma /hc /hw /hi /yr /d1 /d2 /d3 /d4 /d5 /d6 /d7 /d10 /d11 , vce(robust) technique (bfgs)
ml init /alpha =0.5 /kr =0.5
ml maximize , difficult
