ZFYYYYYYYY 发表于 2020-2-16 15:16
xsmle进行空间面板模型sar与sdm分析时,显示convergence not achieved,
有人建议加入初始值后,通过copy( ...
Stata官方论坛里面有人问了这个不收敛的问题,问题如下:
Guys, I've got another question: When I use the SDM Model with time fixed effects the ML estimator does not converge - it stops after iteration 100 with the statement 'convergence not achieved'. (It converges when I forego the time fixed effects) Even after scaling up iteration size (e.g. 5000) it does not converge. Do you have any idea what I can do about it? Respectively, do you think the results are reliable?
有学者回答了:
No, these results are not reliable, as 100 (or 5000) iterations are a random cut-off point. So the log-likelihood hasn't converged and therefore it is dubious to claim that you have found a maximum. When I encounter this,it is usually because I have mis-specified the model or have chosen bad starting values. So here is what you can do:
1. Use the difficult option of xsmle , which uses a different optimization algorithm for the not concave parts. Or you could also experiment with the different optimization algorithms, see help maximize. But while this is the easiest route, it's not the most likely to succeed.
2. Try different starting values via from( )
3. Try a different specification of the model. I've encountered this issue for example when I've use the same variable twice as regressors by accident, thereby creating collinearity.
出现模型不收敛的情况(convergence not achieved)通常是模型设定和数据本身的原因,我是做县域空间面板,空间矩阵达到了1804*1804,数据量较大,每次跑xsmle命令都需要1个多小时才出结果,结果大多数也是(convergence not achieved),这里给出我实现收敛的经验:
1)面板数据如果使用双固定效应模型,即type(both),可以考虑换成type(ind),放弃双固定效应,使用个体效应,通常会收敛。但此步骤可能会面临审稿人和老师的质疑。
2)使用from(,copy)选择项调整初值,这个就比较玄学,没有固定的方式,通常是根据最初的估计系数在小数点进行微调,成功概率不大。
3)更换空间权重矩阵。
4)对原始数据的某个主要变量,例如Y,进行分位数5%缩尾处理