Re: [Gretl-devel] Crash using omit command on ordered probit
On Mon, 7 Dec 2015, Artur T. wrote:
Thanks for your quick responses!
The sample script and datafile is actually just an extract from a
rolling-window exercise, and gretl just crashed at this specific window
involving apparently some numerical issues, as you said, Jack.
Thanks for the hint with the re-scaling; that will help for the moment but
of course gretl should not crash at any point.
Upon further investigation: I'm now inclined to think that the root of the
problem lies in the function ordered_hessian() in discrete.c, where we
simply compute the Hessian by numerically differentiating the analytical
score. I distinctly remember that at the time I thought to myself "this'll
do for now", but then I forgot about it; of course, in "hard" cases such
as yours, this is a major source of numerical instability. When we find
some time to write down a C implementation of the analytical Hessian for
the ordered probit model, all the problems should be over.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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