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

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!

While we're at it, I think there may be one or two other cases of ML estimation where there's an "extra" parameter excluded from $coeff, $stderr and $vcv and tacked onto the model struct separately. But I'll need to check properly.