GMM: Could not calculate numerical derivatives -- discontinuous region with missing values encountered

[Sydul Karim]

Hi all,
I was trying to use gmm command in STATA to do the CCAPM estimation. The equation is "gmm ({b=1}*(cratio^(-{g=1}))*rrate-1), inst(cratio1 rrate1 e1)". Where beta(b=1) , gamma (g=1), consumption ratio (cratio), risk free rate (rrate), value weighted returns(e), cratio1=cratio[_n-1], rrate1=rrate[_n-1], e1=e[_n-1]. When I run the code, I get the following error;

"could not calculate numerical derivatives -- discontinuous region with missing values encountered"

Any help will be much appreciated.

Regards,
Sydul

* Example generated by -dataex-. To install: ssc install dataex
clear
input float month str8 ticker float(cratio rrate e cratio1 rrate1 e1)
 36 "BA"   -3.540156 .0023 -.0215           .     .      .
 37 "BA"    -.971704 .0023  .0331   -3.540156 .0023 -.0215
 38 "BA"   -.4979921 .0025  .0476    -.971704 .0023  .0331
 39 "BA"   .06949931 .0024    .02   -.4979921 .0025  .0476
 40 "BA"   -19.39612 .0023 -.0177   .06949931 .0024    .02
 41 "BA"   .05247923 .0027 -.0012   -19.39612 .0023 -.0177
 42 "BA"    30.49854 .0025  .0532   .05247923 .0027 -.0012
 43 "BA"  -1.3992133 .0027  -.013    30.49854 .0025  .0532
 44 "BA"    .4408814 .0029  .0282  -1.3992133 .0027  -.013
 45 "BA"   -.6460861 .0027 -.0058    .4408814 .0029  .0282
 46 "BA"     2.73724 .0029  .0212   -.6460861 .0027 -.0058
 47 "BA"  -.24778116  .003  .0254     2.73724 .0029  .0212
 48 "BA"   -4.439967 .0026   .018  -.24778116  .003  .0254
 49 "BA"   .51613766 .0031  .0172   -4.439967 .0026   .018
 50 "BA"   -.7451285 .0029  .0039   .51613766 .0031  .0172
 51 "BA"   -5.061406 .0026  .0168   -.7451285 .0029  .0039
 52 "BA" -.027067313  .003  .0157   -5.061406 .0026  .0168
 53 "BA"  -14.178907  .003  .0204 -.027067313  .003  .0157
 54 "BA"    .9381444 .0028 -.0116  -14.178907  .003  .0204
 55 "BA"  -1.2203156 .0028  .0297    .9381444 .0028 -.0116
 56 "BA"  -.51360977 .0029  .0088  -1.2203156 .0028  .0297
 57 "BA"   -3.746736 .0029  .0029  -.51360977 .0029  .0088
 58 "BA"  -1.5030264 .0031  .0034   -3.746736 .0029  .0029
 59 "BA"   -.2302539 .0028  .0382  -1.5030264 .0031  .0034
 60 "BA"  -1.8142532  .003  .0074   -.2302539 .0028  .0382
 61 "BA"  -1.4752742 .0036 -.0098  -1.8142532  .003  .0074
 62 "BA"   -.9928886 .0031  .0342  -1.4752742 .0036 -.0098
 63 "BA"   .25200903 .0031 -.0046   -.9928886 .0031  .0342
 64 "BA"  -3.1841326 .0035 -.0516   .25200903 .0031 -.0046
 65 "BA"  -1.2907373 .0031  .0174  -3.1841326 .0035 -.0516
 66 "BA"  -.06960047 .0033  .0306  -1.2907373 .0031  .0174
 67 "BA"   -9.199977 .0031  .0317  -.06960047 .0033  .0306
 68 "BA"    2.988388 .0031  .0291   -9.199977 .0031  .0317
 69 "BA"  -.22622275 .0035  .0032    2.988388 .0031  .0291
 70 "BA"   -.4056587 .0033  .0134  -.22622275 .0035  .0032
 71 "BA"   1.0434303 .0038   .011   -.4056587 .0033  .0134
 72 "BA"    .9252369 .0035 -.0086   1.0434303 .0038   .011
 73 "BA"    .3515978 .0038 -.0213    .9252369 .0035 -.0086
 74 "BA"    9.300008 .0034  .0248    .3515978 .0038 -.0213
 75 "BA"    -.942119 .0041 -.0525    9.300008 .0034  .0248
 76 "BA"   -.8822408 .0038 -.0106    -.942119 .0041 -.0525
 77 "BA"   1.1425195 .0035 -.0128   -.8822408 .0038 -.0106
 78 "BA"  -1.3333863 .0041  -.075   1.1425195 .0035 -.0128
 79 "BA"  -.28533137  .004 -.0066  -1.3333863 .0041  -.075
 80 "BA"  -1.6027147 .0045  .0431  -.28533137  .004 -.0066
 81 "BA"   -.5128761  .004   .018  -1.6027147 .0045  .0431
 82 "BA"   -.9553156  .004  .0053   -.5128761  .004   .018
 83 "BA"   -2.185487 .0043  .0858   -.9553156  .004  .0053
 84 "BA"    .9628142 .0036  .0114   -2.185487 .0043  .0858
 85 "BA"    .2040771 .0039  .0438    .9628142 .0036  .0114
 86 "BA"    3.155706 .0032  .0421    .2040771 .0039  .0438
 87 "BA"   -.6790543 .0033   -.04    3.155706 .0032  .0421
 88 "BA"   -.9911674 .0027  .0268   -.6790543 .0033   -.04
 89 "BA"   -4.969764 .0031  .0489   -.9911674 .0027  .0268
 90 "BA"  -.57885915 .0031 -.0058   -4.969764 .0031  .0489
 91 "BA"   1.1362848 .0032  .0343  -.57885915 .0031 -.0058
 92 "BA"  -2.2006211 .0039  -.027   1.1362848 .0032  .0343
 93 "BA"  -.59475595 .0036  .0073  -2.2006211 .0039  -.027
 94 "BA"    1.406285 .0033  .0338  -.59475595 .0036  .0073
 95 "BA"   -.2034841  .004 -.0366    1.406285 .0033  .0338
 96 "BA"  -1.5376444 .0039 -.0336   -.2034841  .004 -.0366
 97 "BA"    3.397366 .0038  .0058  -1.5376444 .0039 -.0336
 98 "BA"   -.4767671 .0043  .0948    3.397366 .0038  .0058
 99 "BA"   -.3951773 .0045  .0273   -.4767671 .0043  .0948
100 "BA"   4.3474393 .0043  .0112   -.3951773 .0045  .0273
101 "BA"    .6482985 .0048 -.0224   4.3474393 .0043  .0112
102 "BA" -.009207793 .0042  .0176    .6482985 .0048 -.0224
103 "BA"   151.67432 .0043  .0446 -.009207793 .0042  .0176
104 "BA"  -.04699334 .0044  .0086   151.67432 .0043  .0446
105 "BA"   26.181854 .0042  .0585  -.04699334 .0044  .0086
106 "BA"  -1.0291973 .0043 -.0351   26.181854 .0042  .0585
107 "BA"   -.6530969 .0053 -.0072  -1.0291973 .0043 -.0351
108 "BA"    .9244005 .0046 -.0538   -.6530969 .0053 -.0072
109 "BA"  -.25225097 .0046   .031    .9244005 .0046 -.0538
110 "BA"    .9673108 .0053  .0199  -.25225097 .0046   .031
111 "BA"   -4.165961 .0048  .0038    .9673108 .0053  .0199
112 "BA"  -1.7049503 .0051 -.0667   -4.165961 .0048  .0038
113 "BA"   -.3784493 .0053 -.0647  -1.7049503 .0051 -.0667
114 "BA"    1.717535  .005  .0518   -.3784493 .0053 -.0647
115 "BA"   -1.251924 .0062 -.0236    1.717535  .005  .0518
116 "BA"  -1.0894614  .006  .0566   -1.251924 .0062 -.0236
117 "BA"   -.4745781 .0052 -.0327  -1.0894614  .006  .0566
118 "BA"   .08973293 .0064 -.0199   -.4745781 .0052 -.0327
119 "BA"  -22.325546  .006  -.075   .08973293 .0064 -.0199
120 "BA"   -.6001403 .0062  .0575  -22.325546  .006  -.075
121 "BA"  -.53734916 .0057 -.0049   -.6001403 .0062  .0575
122 "BA"  -2.3501725  .005  -.105  -.53734916 .0057 -.0049
123 "BA"   -.8619991 .0053 -.0639  -2.3501725  .005  -.105
124 "BA"   .08436878 .0058 -.0521   -.8619991 .0053 -.0639
125 "BA"   -3.303317 .0052  .0745   .08436878 .0058 -.0521
126 "BA"   -.6669593 .0053  .0502   -3.303317 .0052  .0745
127 "BA"    3.671982 .0054  .0472   -.6669593 .0053  .0502
128 "BA"  -.33949545 .0046 -.0182    3.671982 .0054  .0472
129 "BA"   -1.257444 .0046  .0505  -.33949545 .0046 -.0182
130 "BA"     5.63779 .0042  .0614   -1.257444 .0046  .0505
131 "BA"   -.3036467 .0038  .0522     5.63779 .0042  .0614
132 "BA"   .22997028 .0033  .0174   -.3036467 .0038  .0522
133 "BA"   12.805146  .003  .0443   .22997028 .0033  .0174
134 "BA"   -.8253033 .0028  .0343   12.805146  .003  .0443
135 "BA"   -.6152521 .0029 -.0369   -.8253033 .0028  .0343
end
format %tmNN/CCYY month

[Joseph Coveney]

"could not calculate numerical derivatives -- discontinuous region with missing values encountered"

Any help will be much appreciated.

I don't know anything about gmm, but with other commands, e.g., nl, it usually means that your model is grossly mispecified or that your starting values put the evaluation in a flat region of the likelihood, or in divide-by-zero or imaginary-number territory.

I also don't know anything about CCAPM, or even what it stands for, but maybe you could check that the model is correctly specified or start with a simpler one, or play with the starting values?