[Gretl-users] Random-effects Tobit (Re: Fixed Effect crashed ...)
Am 11.02.2019 um 13:11 schrieb Riccardo (Jack) Lucchetti:
On Sat, 9 Feb 2019, Riccardo (Jack) Lucchetti wrote:
> On Sat, 9 Feb 2019, Riccardo (Jack) Lucchetti wrote:
>
>
>> Without having given this much thought, I believe this shouldn't be
>> difficult to do via GHK.
>
> Actually, Guass-Hermite integration is the proper tool for this job.
> See the quadtable() function.
Ok, so I put together a small script that performs ML of
random-effects tobit via Gauss-Hermite integration (attached). It
would be nice to find some kind soul that turns this into a function
package.
Microeconometricians to the front!
Thanks Jack, your script runs fine here. Actually I'm a bit surprised
that the functions and the script aren't very long. Good for gretl (and
for us)!
Perhaps it would be good to put this into the feature request tracker
and attach the code there. So far the tracker has mainly been used for
requests concerning core gretl, but I'd say that's no iron law.
thanks,
sven
Attachments:
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