Re: [Gretl-devel] fdjac doc typo?
On Thu, 17 Jan 2008, Sven Schreiber wrote:
Is it because I am too tired already, or should p.37 of the user
guide say
"n>=m" instead of "n<=m" in the context of explaining the fdjac
function?
(With respect to the delta method, meaning that you cannot get out a
covariance matrix which is higher-dimensional than the one you put in.)
Sure you can: it'll be singular, but who said a covariance matrix can't be
singular? To qualify as a covariance matrix, a square matrix must be
symmetric and positive SEMIdefinite.
In fact, $n$ and $m$ could be any integer. See example:
<script>
function a(matrix *x)
matrix r = x[1]/x[2]
return matrix r
end function
function b(matrix *x)
matrix r = zeros(3,1)
r[1] = x[1]/x[2]
r[2] = x[1]*x[2]
r[3] = x[1]+x[2]
return matrix r
end function
nulldata 3
x = { 1 ; 2 }
Ja = fdjac(x, "a(&x)")
Jb = fdjac(x, "b(&x)")
Ja
Jb
</script>
Fixed the manual on this.
On the same page, n is also used as the sample size, but I'm not
sure if that
really causes confusion for anybody.
Yup, fixed that too. Thanks, Sven.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti