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

On Mon, 7 Dec 2015, Allin Cottrell wrote: > On Mon, 7 Dec 2015, Riccardo (Jack) Lucchetti wrote: > >> 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. > > Ah, good idea. In the meantime I've made sure that when the Hessian can't > be inverted the error propagates correctly, stopping the rot before a crash > occurs. In the mean^2-time, I've used a marginally more sophisticated way to computed the numerical Hessian for ordered probit and committed it to git. Artur's script shouldn't crash any longer. Please tell me if it does.