Re: [Gretl-users] Non-linear least squares
Jack,
I will try to do it, but it can take a while before I come back, as I have to dig me into
these methods. If I am correct, you already provided the derivatives in your prior
answer.
However, they seem not to work. I tried to estimate my model using x1,x2,x3 but Gretl
returned that derivates are incorrectly specified. Nonetheless, I will try to figure it
out.
Thanks,
Jan
<hansl>
nls y = w1 * x1 + w2 * x2 + (1-w1-w2) * x3
e1 = exp(b1)
e2 = exp(b2)
den = 1 + e1 + e2
w1 = e1 / den
w2 = e2 / den
deriv b1 = w1 * (1-w1) * x1
deriv b2 = w2 * (1-w2) * x2
end nls --verbose
</hansl>
-----Ursprüngliche Nachricht-----
Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Riccardo (Jack)
Lucchetti
Gesendet: Mittwoch, 30. April 2014 13:37
An: Jan Tille
Cc: Gretl list
Betreff: Re: AW: [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.
-------------------------------------------------------
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
-------------------------------------------------------