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

On Sat, 31 Oct 2020, Riccardo (Jack) Lucchetti wrote: > 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. Ah, that makes sense. One more thought: there could be strange fallout from including rho in $coeff and $stderr when it comes to printing the model output, and possibly other contexts too. Needs testing anyway.