Re: [Gretl-users] bivariate probit (in a loop)
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> There's no doubt your likelihood function is misbehaved here (rho near 1
> is worrying) and what you're seeing are numerical problems.
>
>
My question: When it comes to rho "near 1" what about the extreme
case of
rho=1? I tried another biprobit estimation which shows up rho=1...with no
error message. At that point, should the likelihood computations have
stopped?
(just in case, here's attached the rho-equal-one output)
Artur
Attachments:
- attachment.html (text/html — 942 bytes)
- biprobit.7.verbose.txt (text/plain — 71.8 KB)
Wednesday, 22 October
Wed, 22 Oct
7:08 p.m.
New subject: bivariate probit (in a loop)
On Wed, 22 Oct 2014, Artur Bala wrote:
>
>
>> There's no doubt your likelihood function is misbehaved here (rho near 1
>> is worrying) and what you're seeing are numerical problems.
>>
>>
My question: When it comes to rho "near 1" what about the extreme case of
rho=1? I tried another biprobit estimation which shows up rho=1...with no
error message. At that point, should the likelihood computations have
stopped?
From a quick look at your output, it seems that
* you've got lots of zeros
* most ones come in pairs between the two equations
* some periods contain fewer ones than others
If my guess is correct, most of your problems come from your time dummies.
Could you please try to see what happens if you omit the time dummies
altogether, of use just a few of them?
-------------------------------------------------------
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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