Re: [Gretl-users] Non-linear least squares
On Wed, 30 Apr 2014, Jan Tille wrote:
Jack,
Thank you for your hint. By "shares", do you mean the "SSR" values?
Indeed, in your example, they are around 50 and using my data SSR starts
at around 0,01 and converges towards 0,00632... and stops after 49
iterations. This is when gretl tells me that the jacobian cannot be
calculated.
If you mean the w's, my estimated w5 (if I only use x1...x5) is zero
(0,0000000039...).
No, sorry, that's what I meant.
Except for choosing other data/independent variables. Is there any
way
to work around that?
Have you tried analytical derivatives? Those should help.
Another question that I was asking myself, concerns the t-values (or
standard errros). As they are calculated for the b's, they likely have
to be transformed to represent t-values for the estimated w's. I guess
this has to be done in another way, then just using exp() and divide it
by exp(bi)/(1+sum(exp(...)).
You have to use the delta method for that, which is arguably another good
reason for computing analytical derivatives.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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