Hello,

I have some problems using the maximum likelihood command of Stata to estimate a probit model.
Here is a simplified example of my problem: I am interested in estimating the effect of past experienced stock market returns of households on their stock market participation (controlling for other household characteristics).

This is my likelihood function:
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capture program drop nlprobitlf_stock
program nlprobitlf_stock
version 11
args lnfj xb b k
tempvar xnl


global lambda = `k'

rmatcalc_stock

quietly generate double `xnl' = w
drop w

quietly replace `lnfj' = lnnormal(`xb'+`b'*`xnl') if ($ML_y1 == 1)
quietly replace `lnfj' = lnnormal(-`xb'-`b'*`xnl') if ($ML_y1 == 0)

end
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where rmatcalc_stock is a function that calculates the weighted sum of the stock returns a household experienced during its lifetime. The weights depend on k, which should also be estimated within the probit model.

This is my code for the optimization problem:
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ml model lf nlprobitlf_stock (`dependent_var' = `controls') /b /k [pweight = wgt]
ml search /// search initial value
ml maximize, difficult technique (bhhh) nonrtolerance
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If I run this, I get the following error message:

initial: log pseudolikelihood = -2.388e+08
rescale: log pseudolikelihood = -3395333.6
rescale eq: log pseudolikelihood = -3385030.8
Iteration 0: log pseudolikelihood = -3385030.8
Iteration 1: log pseudolikelihood = -2737459.7 (not concave)
Iteration 2: log pseudolikelihood = -2685007.4
Iteration 3: log pseudolikelihood = -2681058.8 (not concave)
Iteration 4: log pseudolikelihood = -2680772 (not concave)
Iteration 5: log pseudolikelihood = -2680771.5
Iteration 6: log pseudolikelihood = -2680524.6
Iteration 7: log pseudolikelihood = -2680520.2
Iteration 8: log pseudolikelihood = -2680520.2 (backed up)
option technique() not allowed

Does anyone know where this error may come from? Thank you very much in advance!