optimize() "could not calculate numerical derivatives -- flat or discontinuous region encountered"

[Roy Wirapati]

Hi everyone,

I am trying to run probit using optimize() function from mata. But, I always got the error message "could not calculate numerical derivatives -- flat or discontinuous region encountered". I am very new to mata so I wonder if I did this wrong. Really appreciate it if you can enlighten me on this. Thanks in advance!

This is my current code:

    // define function
    void PROBIT(real scalar todo, real vector b, real vector y, real matrix x, val, grad, hess) {
        real vector mu
        mu = normal(x*b')
        val = sum(y :* log(mu) + (1 :- y) :* log(1 :- mu))
    }

    // setting up initial values using regression
    stata("reg Y X")
    stata("mat b = e(b)")
    
    // preparing arguments and parameter
    y = Y
    x = X,J(1000,1,0)
    b = st_matrix("b")
    
    // optimization
    S = optimize_init()    
    optimize_init_evaluator(S,&PROBIT())
    optimize_init_evaluatortype(S,"gf0")
    optimize_init_technique(S,"bfgs")
    optimize_init_params(S,b)
    optimize_init_argument(S,1,y)
    optimize_init_argument(S,2,x)
    optimize(S)
    beta_probit = optimize_result_params(S)'
    beta_probit