search for: calclulated

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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...