[Gretl-devel] Re: SVD issues
On Fri, 7 Feb 2020, Sven Schreiber wrote:
Am 06.02.2020 um 22:09 schrieb Allin Cottrell:
> The business with VAR standard errors was due to a crucial difference
> between the "old" lapack SVD solver, dgelss(), and the "new",
faster
> dgelsd (divide-and-conquer variant) that I failed to notice at first.
> That is, dgelss leaves the right-hand singular vectors in the input
> matrix X on successful exit -- which provides a nice quick way of
> computing (X'X)^{-1} -- while dgelsd leaves nothing but rubble in X. So
> our (X'X)^{-1} computed after dgelsd was garbage. Solution: revert to
> dgelss if (X'X)^{-1} is needed.
Thanks Allin - I feel partly guilty because I suggested the switch to
the faster versions. What I don't understand, though: Isn't (X'X)^{-1}
always needed? I mean we have the $xtxinv accessor after a VAR which
should always contain valid stuff.
Yes, it's always needed when called on behalf of the "var" command,
but for some internal uses we just need parameter estimates and have
no use for the covariance matrix.
Allin