I was running my probit model using the following code:
proc probit data= TRY_Jump_News;
model FJ_Dummy= Abs_Surp_US1-Abs_Surp_US28 Abs_Surp_EU1-Abs_Surp_EU18 Abs_Surp_GER1-Abs_Surp_GER13
Abs_Surp_TUR1-Abs_Surp_TUR10;
quit;
However, SAS log showed me the following warnings:
WARNING: The negative of the Hessian is not positive definite. The convergence is questionable.
WARNING: The procedure is continuing in spite of the above warning. Results shown are based on
the last maximum likelihood iteration. Validity of the model fit is questionable
Then, I tried the following code, and I got results without any warnings:
proc logistic data= TRY_Jump_News descending;
model FJ_Dummy= Abs_Surp_US1-Abs_Surp_US28 Abs_Surp_EU1-Abs_Surp_EU18 Abs_Surp_GER1-Abs_Surp_GER13
Abs_Surp_TUR1-Abs_Surp_TUR10/ link= probit;
quit;
And I get the following notes:
NOTE: PROC LOGISTIC is modeling the probability that FJ_Dummy='1'.
NOTE: Convergence criterion (GCONV=1E-8) satisfied.
NOTE: There were 518484 observations read from the data set WORK.TRY_JUMP_NEWS.
NOTE: PROCEDURE LOGISTIC used (Total process time):
real time 19.23 seconds
cpu time 19.17 second
Please note the 'descending' in PROC LOGISTIC statement. I think this is what is making the difference.
Could you please explain what is the purpose of the 'descending' here?
Much thanks.