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

Abstract: 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.

Date: 2017-09-14
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Citations: View citations in EconPapers (2)

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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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