Excel Add-In: Gauss Newton Dummy Dependent Variable
This add-in, DDVGN.xla, estimates Probit and Logit models via non-linear least squares and maximum likelihood. Unlike its cousin, DDV.xla, this add-in does not use Excel's Solver to estimate the coefficients; instead it employs a Gauss-Newton algorithm. As a result, it's quicker, slightly more accurate, and can handle more variables than DDV.xla. In addition this add-in can handle missing values. However, this algorithm does not make clear to the student the structure of the optimization problem. We use DDV.xla to teach and DDVGN.xla to actually estimate models. Remember that for any serious work in econometrics, our results should be checked against those from commercial software.
Download the installation instructions first, then right-click to download the DDVGN.xla file when you are ready. The other files contain documentation and examples. The Probit and Logit NLLS Tests file compares results from this add-in to those from Stata for a data set analyzed by Thomas Mroz.
Latest version: 18 February 2007. Our thanks to Rafael Nicolas Fermin Cota, a student at the Richard Ivey School of Business, Univ. of Western Ontario, for a correction to the algorithm for producing NLLS robust SE estimates.
Files
Installation Instructions
DDVGN.xla
DDVGaussNewtonExampleFile.xls
Probit and
Logit NLLS Tests.xls
Details on Gauss Newton
DDV Estimation