Good afternoon.
I keep getting a "Data error" message (and nothing else) in an ML
estimation with a non-standard density (which has been checked of being
a density , i.e. non-negative and integrating to unity).
I have used the same data set with other densities without problems.
There are two regressors and a constant. Sample size is 570.
What such an error message may signal?
The script is
mle logl = check ? log((2/th^2)*exp(sr^2/(2*su^2))*exp(resM/su)*B1 +
(2/th^2)*(resM+su)*B2 + (2/th^2)*sr*B3) :NA
series resM = Depv - Regrs*kVec
series B1 = su*cnorm(-resM/sr - sr/su) - (th+su)*cnorm(-resM/sr -
sr/su + th/sr)
series B2 = cnorm(resM/sr) - cnorm((resM-th)/sr)
series B3 = dnorm(resM/sr) - dnorm((resM-th)/sr)
scalar check = (sr>0) && (su>0) && (th>0)
params kVec sr su th
end mle --verbose
--
Alecos Papadopoulos
PhD Candidate
Athens University of Economics and Business, Greece
School of Economic Sciences
Department of Economics
https://alecospapadopoulos.wordpress.com/