[Gretl-devel] Re: $test accessor after biprobit
On Sun, 1 Nov 2020, Allin Cottrell wrote:
Since we have a release coming up -- once we've cleared the queue
of pressing
bugs! -- I've committed to git what I believe is a relatively safe fix for
the broken $vcv after biprobit, namely excluding the row and column
pertaining to the "extra" parameter rho.
The mess-up with $vcv was due to writing a covariance matrix of dimension k+1
into the model struct, then accessing it on the assumption it was of
dimension k. Now we trim it to k before writing it to the model.
We can revisit this later. It may be better to promote rho to full "coeff"
status, but for now I'm concerned about possible fallout from that move.
Fine by me. I spent some time trying to "fix" the independence test for
the --robust case, but gave up eventually because there's too much code
we'd have to add to the biprobit plugin code and it's not really
worthwhile.
In practice, we'd have to repeat all the matrix calculations for the vcv
twice just for finding one number. This will be completely unnecessary
once we include rho into the MODEL struct, as we plan to do after release.
By the way, it's not even entirely clear to me whether the LR test is
invalid or not in the context of QMLE estimation (although I suspect it
is).
So I guess that, for now, it's enough to add a cautionary note to the
biprobit docs, and we can modify it as needed later on, when we provide an
independence test that is asymptotically valid even for QMLE estimation.
I'll do this later today.
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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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