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