Re: [Gretl-devel] Trivariate Probit
Thanks. I will look at the documentation on the GHK hansl function. Would
you please send (or post) the example script for the trivariate probit
model?
I know Limdep also uses a GHK simulator for its MPROBIT algorithm.
However, the problem is that even a simple trivariate model can take quite
a while to estimate with Limdep's default of 100 pts (on the order or 10-20
minutes for the *N*=750 test model I'm running). Is gretl's GHK simulator
any faster, or are slow speeds just the nature of the GHK simulation? I
think most of Genz's n>3 algorithms are simulation based also, but he has
functions that estimate the special trivariate case much more quickly. I
think if those were implemented, the special case of the trivariate probit
would run much faster than using GHK. However, I'm sure someone must have
thought of this before, so I'm a little wary that I'm missing something.
Ironically, I don't *think* my problem is in the estimation of the
trivariate normal cdf, which is what the GHK simulator is used for,
correct? I think the issue is in something much "simpler," which is the
correct formulation of the scores because I'm not getting the derivatives
of the cdf correct.
It's not GHK related, but is there a way run to run a simple (two-level)
FIML nested logit model in gretl?
On Fri, Jul 18, 2014 at 8:54 AM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Thu, 17 Jul 2014, David van Herick wrote:
Hello,
>
> This is a "big" question, and I apologize in advance for the long message.
> I'm new to this list, so I'm not sure if this is the right place to ask
> about this.
>
[...]
It would be very nice to port Genz's code for the trivariate normal to
libgretl. However, we've already got GHK for that and more, since you can
use GHK for evaluating integrals of the multivariate normal in any (well,
sort of) number of dimensions. Sure, it's a simulation-based method;
however, there's a reason why it's become the "industry standard" in
microeconometrics: it's really really REALLY good.
As for the trivariate probit model, it's one of the examples I've been
using to test our GHK implementation, and I could send you an example
sample script if you want, or post it to the list if other people are
interested. For your project, I'd suggest you take a look at the
documentation for the GHK hansl function; even if you want to use C rather
than hansl for your project, the corresponding functions you'll find in the
C API are remarkably similar.
-------------------------------------------------------
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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