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GMM Convergence Problems

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Ryne's picture
Joined: 07/31/2009 - 15:12
GMM Convergence Problems

Hi Gang,

I'm playing with a growth mixture model and am hitting an optimizer snag. My code continually ends with an error indicating one row of my data producing a non-positive definite expected covariance matrix between 30 and 60 iterations in, leading to an NPSOL status 6. Removing the offending row simply gives another row the opportunity to take center stage and become non-positive definite.

Questions, both for me and for future users with similar problems:
-What's the next thing I should look at to solve the problem, and relatedly:
-Can I view the iteration history so that I might have a better angle to diagnose the problem? Because of the error, no output is produced.