[Gretl-devel] Re: $test accessor after biprobit

On Sat, 31 Oct 2020, Allin Cottrell wrote: > On Sat, 31 Oct 2020, Riccardo (Jack) Lucchetti wrote: > >> On Sat, 31 Oct 2020, Sven Schreiber wrote: >> >>>> IMO we should change the output of biprobit and make rho a "first class >>>> citizen", that is include it in the output just like the other estimated >>>> parameters as well as storing it as the last element of $coeff and >>>> enlarging $vcv and $stderr as needed, but I'd like to hear your opinion >>>> on this before I start working on the code. >>> >>> If the previous thing was buggy, then I guess the incompatibility is >>> somehow unavoidable. In that sense I'd say go ahead. >> >> Not necessarily. We may decide to keep $coeff and $vcv the way they are >> now (that is, without rho) and just fix $vcv. But as I said, I'd be >> happier if we changed this design decision. If Allin gives me the green >> light on this, I'll try to get things done asap (not before Monday, >> thoough, I'm afraid). > > The "fix up $vcv" option occurred to me too, though I'm not saying it's the > best solution. Probably better to incorporate rho. BTW, in the biprobit > examples I checked I haven't seen the non-square $vcv that Jack mentioned, > though I have seen some negative diagonal elements! Sorry, I meant "non-symmetric". That's where the negative diagonal elements come from. They are, in fact, misplaced covariances.