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From: Jennifer Meininger on 17 Jun 2010 04:50
Guys

Need your help! I am using the proc nlmixed to model the following
data; my codes follows.

PROC IML;
n_sim = 20;
n_debtor = 10000;
rho_V = 0.3;
rho_Y = 0.25;
rho_U = -0.9;
beta_0 = -1.5;
gamma_0 = 4;
sigma = 2.5;
Vektor = j(n_debtor,1,1);
DO sim=1 TO n_sim;
F=RANNOR(0);
F_Vektor=F*Vektor;
Z_V=j(n_debtor,1,0);
ZV_Vektor=TINV(RANUNI(Z_V), 20);
Z_Y=j(n_debtor,1,0);
ZY_Vektor=TINV(RANUNI(Z_Y), 20);
V = -(beta_0 + rho_V * F + SQRT(1 - rho_V*rho_V) * ZV_Vektor);
*Defaultprozess;
Y = gamma_0 - rho_Y * F + sigma * rho_U *ZV_Vektor+sigma * SQRT(1-
rho_U*rho_U)*ZY_Vektor; *Recoveryprozess;
Default=V<0;
Recovery=Y;
sim_Vektor=sim*Vektor;
M_TD=M_TD//(Default||Recovery||sim_Vektor||F_Vektor||Vektor);
END;
CREATE work.M_TV FROM M_TV;
APPEND FROM M_TV;
QUIT;
proc sort DATA=work.M_TV;
BY col3;
RUN;

NLMIXED:

proc nlmixed qpoints = 64 data=work.M_TD
ITDETAILS GCONV=0;
PARMS rho_U = -0.8, rho_V = 0.25, rho_Y = 0.15, sigma = 3, beta_0 =
-2, gamma_0 = 3.5;
BOUNDS -1 < rho_U < 1, -1 < rho_V < 1, -1 < rho_Y < 1, sigma > 0;
linpred_col1 = (beta_0 + rho_V * F) / SQRT(1-rho_V* rho_V);
linpred_col2 = gamma_0 - rho_Y * F;
f2 = CDF('T', linpred_col1,20);
f2a = CDF('T', -linpred_col1,20);
do i=linpred_col1 to 1000;
f4 = PDF('T',(col2 - linpred_col2+ 20*sigma*rho_U*i)/(sigma*sqrt(20/18-
rho_U * rho_U)),20);
f6 = PDF('T',i,20);
f7= f4*f6;
end;
f8 = 1/(sigma*sqrt(20/18-rho_U*rho_U)*f2)*f7;
ll = ((col1=0) * log(f2a) + (col1=1) * log(f2)+ (col1=1) * log(f8));
model col2 ~ general(ll);
RANDOM F ~ NORMAL(0, 1) SUBJECT=col3;
run;

Sas giving me the error: No valid parameter points were found.

Can you tell me what I'm doing wrong. Thanks
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