Re: [Gretl-devel] Crash using omit command on ordered probit

On Mon, 7 Dec 2015, Artur T. wrote: > Thanks for your quick responses! > The sample script and datafile is actually just an extract from a > rolling-window exercise, and gretl just crashed at this specific window > involving apparently some numerical issues, as you said, Jack. > > Thanks for the hint with the re-scaling; that will help for the moment but > of course gretl should not crash at any point. Upon further investigation: I'm now inclined to think that the root of the problem lies in the function ordered_hessian() in discrete.c, where we simply compute the Hessian by numerically differentiating the analytical score. I distinctly remember that at the time I thought to myself "this'll do for now", but then I forgot about it; of course, in "hard" cases such as yours, this is a major source of numerical instability. When we find some time to write down a C implementation of the analytical Hessian for the ordered probit model, all the problems should be over.