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2012 Feb 01
3
Probit regression with limited parameter space
Dear R helpers,
I need to estimate a probit model with box constraints placed on several of
the model parameters. I have the following two questions:
1) How are the standard errors calclulated in glm
(family=binomial(link="probit")? I ran a typical probit model using the
glm probit link and the nlminb function with my own coding of the
loglikehood, separately. As nlminb does not produce the hessian matrix, I
used hessian (numDeriv) to calculate it. However, the standard error...