On Mon, 26 Nov 2007, Allin Cottrell wrote:
On Mon, 26 Nov 2007, Sven Schreiber wrote:
> Well no need to wait that long -- success! Haven't tested much,
> but the gretl built from cvs at least starts up by typing
> gretl_x11. (this is before doing "make install" --
That's good to hear!
Well done Sven. While you're at it, you may even package a nice dmg
file... just kidding :-)
> Interesting that the version string is now 1.6.6...)
I was hoping to publish a release today. That may be a little
over-optimistic, but maybe tomorrow -- unless anyone's aware of
any show-stoppers.
Not exactly a show-stopper here, but in order to get ready for release
I've been trying random stuff and I've found we have a slight problem with
the ML Heckit estimator; try this:
<script>
open mroz87
list X = const RPWG FAMINC
heckit WW X ; LFP X
</script>
You should get gibberish for the standard errors. The reason for this is
that we rely on numerical compuatation of the Hessian for the heckit
model, and it so happens that the FAMINC variable has a scale such that
its coefficient is very small. When we compute the numerical Hessian, hell
breaks loose. If you rescale FAMINC as, say, FAMINC/1000, everything works
ok. The way I see it, we have several alternatives here:
(a) pretend nothing's wrong (no time needed :-))
(b) mention the issue in the manual and work on this after release (1 day)
(c) do some rescaling magic in heckit.c (1/2 days)
(d) refine numerical_hessian in nls.c (2/4 days including testing)
(e) provide analytical derivatives for the Heckit model (???)
Considering it's been a long time since the last release, my personal
preference goes to (c), although (d) is probably more beneficial in the
long term (of course (e) is the best, but (d) will need to be addressed
anyway sooner or later); anyway, (b) would be acceptable too. What do you
guys think?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti