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文件名:  数据.xlsx
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我的数据是上市公司十年4921条研发投入数据，时间有gap，但能保证连续7年及以上有数据，想要做的是对每家公司进行分组回归，构建garch模型，求出研发投入变动趋势，出现错误：flat log likelihood encountered, cannot find uphill direction，我猜测可能原因是数据不够，但是已经发表的文章上用类似的数据也做出了结果。所以我想请问各位大佬有什么解决办法吗？这是我的代码：
  1. use c:\users\administrator\desktop\7year.dta,clear
  2. tsset company year
  3. egen g=group(company)
  4. sum g
  5. local n=r(max)
  6. gen f=.
  7. forv i=1/`n'{
  8. arch rd L.rd if g==`i',arch(1) garch(1)
  9. predict e if e(sample),r
  10. replace f=e if e(sample)
  11. drop e
  12. }
  13. drop g
复制代码

部分结果
  1. Iteration 344: log likelihood = -100.04287
  2. (switching optimization to BHHH)
  3. Iteration 345: log likelihood =-100.0428(not concave)
  4. Iteration 346: log likelihood = -100.04267(not concave)
  5. Iteration 347: log likelihood = -100.04267(not concave)
  6. Iteration 348: log likelihood = -100.04267(not concave)
  7. Iteration 349: log likelihood = -100.04267(not concave)
  8. (switching optimization to BFGS)
  9. BFGS stepping has contracted, resetting BFGS Hessian (87)
  10. Iteration 350: log likelihood = -100.04267
  11. Iteration 351: log likelihood = -100.04267(backed up)
  12. Iteration 352: log likelihood = -100.04266(backed up)
  13. BFGS stepping has contracted, resetting BFGS Hessian (88)
  14. Iteration 353: log likelihood =-100.0425
  15. Iteration 354: log likelihood = -100.04223(backed up)
  16. Iteration 355: log likelihood = -100.04223(backed up)
  17. BFGS stepping has contracted, resetting BFGS Hessian (89)
  18. Iteration 356: log likelihood = -100.04142
  19. Iteration 357: log likelihood = -100.04134(backed up)
  20. Iteration 358: log likelihood = -100.04133(backed up)
  21. BFGS stepping has contracted, resetting BFGS Hessian (90)
  22. Iteration 359: log likelihood = -100.04061
  23. (switching optimization to BHHH)
  24. Iteration 360: log likelihood = -100.04058(not concave)
  25. Iteration 361: log likelihood = -100.04051(not concave)
  26. Iteration 362: log likelihood = -100.04051(not concave)
  27. Iteration 363: log likelihood = -100.04051(not concave)
  28. Iteration 364: log likelihood = -100.04051(not concave)
  29. (switching optimization to BFGS)
  30. BFGS stepping has contracted, resetting BFGS Hessian (91)
  31. Iteration 365: log likelihood = -100.04051
  32. Iteration 366: log likelihood = -100.04051(backed up)
  33. Iteration 367: log likelihood = -100.04051(backed up)
  34. BFGS stepping has contracted, resetting BFGS Hessian (92)
  35. Iteration 368: log likelihood =-100.0403
  36. Iteration 369: log likelihood = -100.04014(backed up)
  37. Iteration 370: log likelihood = -100.04014(backed up)
  38. BFGS stepping has contracted, resetting BFGS Hessian (93)
  39. Iteration 371: log likelihood = -100.03937
  40. Iteration 372: log likelihood = -100.03935(backed up)
  41. Iteration 373: log likelihood = -100.03934(backed up)
  42. BFGS stepping has contracted, resetting BFGS Hessian (94)
  43. Iteration 374: log likelihood =-100.0388
  44. (switching optimization to BHHH)
  45. Iteration 375: log likelihood = -100.03878(not concave)
  46. Iteration 376: log likelihood = -100.03869(not concave)
  47. Iteration 377: log likelihood = -100.03869(not concave)
  48. Iteration 378: log likelihood = -100.03869(not concave)
  49. Iteration 379: log likelihood = -100.03869(not concave)
  50. (switching optimization to BFGS)
  51. BFGS stepping has contracted, resetting BFGS Hessian (95)
  52. Iteration 380: log likelihood = -100.03869
  53. Iteration 381: log likelihood = -100.03869(backed up)
  54. Iteration 382: log likelihood = -100.03869(backed up)
  55. Iteration 383: log likelihood = -100.03864
  56. BFGS stepping has contracted, resetting BFGS Hessian (96)
  57. Iteration 384: log likelihood = -100.03859
  58. Iteration 385: log likelihood = -100.03859(backed up)
  59. Iteration 386: log likelihood = -100.03857(backed up)
  60. BFGS stepping has contracted, resetting BFGS Hessian (97)
  61. Iteration 387: log likelihood = -100.03836
  62. Iteration 388: log likelihood = -100.03826(backed up)
  63. Iteration 389: log likelihood = -100.03826(backed up)
  64. (switching optimization to BHHH)
  65. Iteration 390: log likelihood = -100.03755(not concave)
  66. Iteration 391: log likelihood = -100.03748(not concave)
  67. Iteration 392: log likelihood = -100.03748(not concave)
  68. Iteration 393: log likelihood = -100.03748(not concave)
  69. Iteration 394: log likelihood = -100.03748(not concave)
  70. (switching optimization to BFGS)
  71. BFGS stepping has contracted, resetting BFGS Hessian (98)
  72. Iteration 395: log likelihood = -100.03748
  73. Iteration 396: log likelihood = -100.03748(backed up)
  74. Iteration 397: log likelihood = -100.03746(backed up)
  75. BFGS stepping has contracted, resetting BFGS Hessian (99)
  76. Iteration 398: log likelihood =-100.0372
  77. Iteration 399: log likelihood = -100.03715(backed up)
  78. Iteration 400: log likelihood = -100.03715(backed up)
  79. flat log likelihood encountered, cannot find uphill directi
  80. > on
  81. r(430);
复制代码


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