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MathGroup Archive 1998

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FindRoot, a big Jacobian, and bivariate probit model

  • To: mathgroup at smc.vnet.net
  • Subject: [mg14107] FindRoot, a big Jacobian, and bivariate probit model
  • From: "ELLIS, Luci (FS)" <EllisL at rba.gov.au>
  • Date: Fri, 25 Sep 1998 03:15:31 -0400
  • Sender: owner-wri-mathgroup at wolfram.com

> Dear MathGroup,
> I am currently trying to write Mathematica code for estimating a bivariate
> probit model by Maximum Likelihood and have run into some problems (to say
> the least).  I am not getting any error messages, but even on a toy
> problem
> (3 explanatory variables, 20 data points), Mathematica fails to give an
> answer in any reasonable amount of time.  
> 
> (For those familiar with FindRoot but not probit models, the short
> explanation is that they are models where the dependent variable takes the
> values 0 or 1, that is,  y = 1 if b.X + e > 0 and 0 otherwise, where e is
> a
> standard normally-distributed disturbance.  In the bivariate case, you
> have
> two y-variables, and the errors for each of them may be correlated, ie
> distributed bivariate normal)
> 
> I have analytic expressions for the first-order conditions and the
> Jacobian
> (second derivatives of the log-likelihood, in that case).  However, the
> Jacobian takes a L-O-N-G time to evaluate because it involves the CDF of a
> bivariate normal distribution, and the parameters are not known, which
> means
> that they have to be substituted into this enormous expression.  I have
> already tried NOT giving Mathematica the Jacobian explicitly, but then it
> asks me for one because it can't get the analytic derivatives of these
> expressions.  How can I speed this up so that the code is usable?
> 
> Thanks in advance,
> Luci Ellis
> 
> The function currently looks like this: (note I haven't Modulised all the
> local variables yet, so I can look at them.  You'll have to copy and paste
> this into Mathematica to see it properly.)
> (****start from next line ****)
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>   "Input"]
> 
> ________________________________________________________
> Luci Ellis
> x8786
> Payments Policy Department
> ellisl at rba.gov.au
> 


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