On Sun, 16 Oct 2016, Juehui Shi wrote:

Hello Prof. Lucchetti and Prof. Pigini,

After estimating a ivprobit model with Hessian parameter covariance matrix,
I got this message on the top of the results "Brrr! Halving params". The
results are exactly the same in Stata. Is this something I need to be
concerned with? What does it mean? Thanks.

Best regards,

That is a debugging statement that is triggered in a relatively rare case, when the automatic initialisation procedure gives parameter values which result in some observation having an estimated probability less than 6.3051168e-16 (not particularly healthy from a computational point of view). Therefore, the algorithm starts form a more conservative set of numbers. If you don't experience convergence problems in the end, there is nothing to worry about.

It's difficult to say anything more specific without looking at your data. However, you may want to check the scale of your variables: if anything has a coefficient larger than 1000 or smaller than 0.001 in absolute value, it may be a good idea to change the unit of measurement for that variable; this usually helps quite a bit with the numerical procedures.

Hope this helps,


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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@univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
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