[Gretl-users] Re: Hessian with negative/missing diagonal elements ?

Am 23.09.2024 um 23:13 schrieb Alecos Papadopoulos: > 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". If you're in a middle of an algorithm that uses the Hessian as a numerical input, I don't see how you can (or should) ignore that this input is not what you think it is. Just like you wouldn't want to standardize your data with a standard error estimate that somehow came out as negative, or would you? > > What I ask is whether we can instruct gretl to stick with the Hessian, > returning some "nan" values in the diagonal / std errors. > Not that I'm aware of. Regarding the cited "R code" of your colleague, maybe it has a clever solution, maybe it just prints out interim stuff and stops there, or maybe it does very unwise things; we have no way of knowing. cheers sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/