MATLAB: Using fminunc for probit estimation

fminuncprobit

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);

Best Answer

You should probably be using the FunValCheck option
Related Question