Using fminunc for probit estimation

Question

Yevgeniya 2011-8-2

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https://ww2.mathworks.cn/matlabcentral/answers/12927-using-fminunc-for-probit-estimation

评论： Joshua Scott 2021-8-5

I am estimating a simple probit model using fminunc as an optimization tool. The reason why I don't use other optimization strategies is because I want to change code later to estimate ordered probit. I get an error "Input to ROOTS must not contain NaN or Inf." while estimating. Could you please suggest what might be wrong with my code? (see below: w- vector of independent vars, yd-dependent dummy). Many thanks, Yevgeniya

w=M.data(:,3);
yd=M.data(:,5);
k=size(w,2); 
[b,r,stats]=regress(yd,w);
start0=b; 
data=[w yd];
f0=find(yd==0);
f1=find(yd==1);
opts = optimset ('Display','iter','TolX',1e-15,'TolFun',1e-15,'MaxIter',2000,'MaxFunEvals',1000000);
[param,fval] = fminunc(@(start)P_Lik(data,k,indiv,f0,f1,start),start0,opts);
function L = P_Lik(X,k,indiv,f0,f1,start);
bcoef=start(1:k); 
y=X(:,end);
Xb=X(:,1:k)*bcoef;
w=zeros(size(X,1),1);
w(f0)=log(1-normcdf(Xb(f0)));
w(f1)=log(normcdf(Xb(f1)));
L=-sum(w);

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Joshua Scott 2021-8-5

Hello Yevgeniya,

I realize this post was made awhile back. I am curious, what edits did you make in order to make this ordered probit?

Thank you

Best,

Josh

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Answer 1

Walter Roberson 2011-8-2

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https://ww2.mathworks.cn/matlabcentral/answers/12927-using-fminunc-for-probit-estimation#answer_17666

You should probably be using the FunValCheck option

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Yevgeniya 2011-8-8

Walter, thanks! This was helpful.

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Answer 2

J Ahmed 2012-1-23

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Hi...

I am having same problem even when I turn 'FunValCheck' on. After few simulations it stops with the captioned message. Probably, Yevgeniya, you might help if you have already solved the problem.

Thanks!