Local maxima in the estimation of the ZINB and sample selection models
João Santos Silva ()
United Kingdom Stata Users' Group Meetings 2017 from Stata Users Group
It is well known that likelihood functions may have multiple (local) maxima. Unfortunately, the algorithms Stata uses to estimate some popular non-linear models can converge to local maxima of the likelihood function, and in these cases the results obtained are meaningless. This is a serious problem and users do not seem to be aware of it. In this presentation I use both the heckman and zinb commands to illustrate this problem. As an aside, I also note that Stata uses the incorrect version of Vuong's test to compare zero-inflated models with their standard counterparts.
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http://repec.org/usug2017/santos-uksug17.pdf presentation slides (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug17:07
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