I was discussing with a colleague an empirical application, and he told
me that the only problem he had was that some elements of the Hessian
was "nan" because they came up with the wrong sign. But the R code that
he used did print out the Hessian, with these elements as "nan".
Can we do that in gretl (natively)? I ask because in standard
mle-implementation with the option --hessian we may get "Hessian is not
negative-definite, dropping back to OPG".
What I ask is whether we can instruct gretl to stick with the Hessian,
returning some "nan" values in the diagonal / std errors.
--
Alecos Papadopoulos PhD
Affiliate Researcher
Dpt of Economics, Athens University of Economics and Business
Foundation for Economic and Industrial Research (IOBE)
web:
alecospapadopoulos.wordpress.com/
ORCID:0000-0003-2441-4550