Dear Stata users,

I am running nlsur command to regress a system of 2 equations to exercise the Mishkin test for capital market efficiency.

Code:
nlsur (F_Inc = {a0} + {a1}*Inc)(F_Ret = {beta1}*(F_Inc -{a0s}-{a1s}*Inc)), vce(cluster time)
My codes works with 20/21 market samples, however, there is a problem when I tried apply the code to the Chilean sample. Stata returns the following message:

Code:
nlsur (F_Inc = {a0} + {a1}*Inc)(FSizeRet = {beta1}*(F_Inc -{a0s}-{a1s}*Inc)), vce(cluster time)
(obs = 1,456)

Calculating NLS estimates...
Iteration 0:  Residual SS =  1.13e+77
Iteration 1:  Residual SS =  1.13e+77
Iteration 2:  Residual SS =  1.13e+77
Iteration 3:  Residual SS =  1.13e+77
Calculating FGNLS estimates...
Iteration 0:  Scaled RSS =         .
Scaled RSS evaluates to missing; check model specification
r(498);

end of do-file
It seems that the NLS estimates were calculated normally, but the process stopped at computing FGNLS estimates. I cannot figure out the meaning of the error in this case and not sure how to proceed from here on. Is there any solution to this?
Any suggestion is very much appreciated!

Sincerely,

Khanh


p.s: I hereby attach the sample of my data using -dataex-


Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input int(unit_id time) float(F_Inc Inc F_Ret)
1 2001   47.1196   -7.9599  3.0190966e+36
1 2002    78.068   47.1196 -2.7425215e+36
1 2003   64.8466    78.068  3.0190966e+36
1 2004   77.0961   64.8466  3.0190966e+36
1 2005  132.5792   77.0961  1.7127544e+35
1 2006   77.1911  132.5792  1.7127544e+35
1 2007  169.3283   77.1911  1.7127544e+35
1 2008   327.939  169.3283  1.7127544e+35
1 2009   169.772   327.939  1.7127544e+35
1 2010   326.084   169.772 -2.3972388e+37
1 2011   202.933   326.084 -2.3972388e+37
1 2012   201.321   202.933 -2.3972388e+37
1 2013   183.651   201.321 -2.3972388e+37
1 2014   264.874   183.651 -2.3972388e+37
1 2015   261.009   264.874 -2.3972388e+37
1 2016   184.519   261.009  1.7127544e+35
2 2000   47637.8   41319.3  1.7127544e+35
2 2001   54112.1   47637.8 -2.7425215e+36
2 2002   59659.2   54112.1 -2.7425215e+36
2 2003  62503.45   59659.2 -2.7425215e+36
2 2004  75944.64  62503.45 -2.7425215e+36
2 2005  84622.09  75944.64 -2.7425215e+36
2 2006     97059  84622.09  1.7061676e+33
2 2007 109120.04     97059  1.9787994e+37
2 2008  123047.5 109120.04  1.9787994e+37
2 2009 103849.58  123047.5  1.9787994e+37
2 2010 111479.27 103849.58  1.9787994e+37
2 2011 121269.56 111479.27  1.9787994e+37
2 2012 116675.53 121269.56 -2.7425215e+36
2 2013 119422.48 116675.53 -2.7425215e+36
2 2014 129008.15 119422.48 -2.7425215e+36
2 2015 150575.67 129008.15 -2.7425215e+36
2 2016 139620.28 150575.67 -2.7425215e+36
3 2000   47637.8   41319.3              .
3 2001   54112.1   47637.8              .
3 2002   59659.2   54112.1              .
3 2003  62503.45   59659.2              .
3 2004  75944.64  62503.45              .
3 2005  84622.09  75944.64 -2.7425215e+36
3 2006     97059  84622.09  1.7061676e+33
3 2007 109120.04     97059  1.9787994e+37
3 2008  123047.5 109120.04  1.9787994e+37
3 2009 103849.58  123047.5  1.9787994e+37
3 2010 111479.27 103849.58  1.9787994e+37
3 2011 121269.56 111479.27  1.9787994e+37
3 2012 116675.53 121269.56 -2.7425215e+36
3 2013 119422.48 116675.53 -2.7425215e+36
3 2014 129008.15 119422.48 -2.7425215e+36
3 2015 150575.67 129008.15 -2.7425215e+36
3 2016 139620.28 150575.67 -2.7425215e+36
4 2000    7.3755   10.5494   7.567931e+27
4 2001    6.4257    7.3755   7.567931e+27
4 2002    8.2839    6.4257  -6.789422e+31
4 2003   11.6737    8.2839  -6.789422e+31
4 2004   16.1299   11.6737   6.714277e+36
4 2005   17.0245   16.1299   6.714277e+36
4 2006   36.4842   17.0245   6.714277e+36
4 2007   24.6518   36.4842   6.714277e+36
4 2008     15.04   24.6518   6.714277e+36
4 2009    17.053     15.04    3.51309e+32
4 2010    23.771    17.053   6.714277e+36
4 2011    34.029    23.771    3.51309e+32
4 2012     40.11    34.029   6.714277e+36
4 2013    40.236     40.11   6.714277e+36
4 2014    57.339    40.236   6.714277e+36
4 2015    12.057    57.339   6.714277e+36
4 2016    18.503    12.057   6.714277e+36
5 2003  3948.682  3745.293    4.60285e+25
5 2004  3194.007  3948.682    4.60285e+25
5 2005  3535.162  3194.007 -2.3013135e+35
5 2006  3845.955  3535.162 -2.3013135e+35
5 2007 11004.243  3845.955      .14318873
5 2008 10997.284 11004.243       .3665221
5 2009 15444.887 10997.284       .3239335
5 2010  7609.143 15444.887      .33626565
5 2011  8986.569  7609.143      .14254399
5 2012 11073.418  8986.569      .14318873
5 2013  8092.089 11073.418      .14318873
5 2014  4121.302  8092.089       .3044791
5 2015   1348.73  4121.302      .14318873
5 2016  9048.525   1348.73      .14318873
6 2008   292.658   339.923 -2.3013135e+35
6 2009  -421.543   292.658 -2.3013135e+35
6 2010    50.264  -421.543 -2.3013135e+35
6 2011   -96.404    50.264 -2.3013135e+35
6 2012  1275.186   -96.404     -153.16333
6 2013   195.431  1275.186   1.718264e+24
6 2014   133.388   195.431   1.718264e+24
6 2015   346.717   133.388   1.718264e+24
6 2016    898.59   346.717   1.718264e+24
8 2011   -42.059    53.148  3.0190966e+36
8 2012    -8.259   -42.059              .
8 2013     2.423    -8.259              .
8 2014   -97.576     2.423  3.0190966e+36
8 2015     8.434   -97.576  3.0190966e+36
8 2016    59.505     8.434  3.0190966e+36
9 2013    31.233   -22.339   1.718264e+24
9 2014   -19.447    31.233   1.718264e+24
9 2015   -31.542   -19.447   1.718264e+24
9 2016    -5.741   -31.542   1.718264e+24
end