Re: [Gretl-users] question: how to replicate MLE --hessian flag standard errors

On Sat, 23 Nov 2013, Pindar wrote: > Hi, > > for the standard Poisson model I'd like to explore different methods > of covariance estimation. > Could you please tell me how to replicate the --hessian flag with > the 'Hess' function? > (it's not included in MLE-advanced.inp, I read in the manuel > 'negative inverse of the hessian', but I make something wrong since > invpd(h) does not do the job). The problem is that your "Hess" function has a bug. Have a look here:

<hansl> open poisson.gdt poisson y 0 x1 x2 series fake_y = ln(y+1) ols fake_y 0 x1 x2 --quiet list xList = $xlist matrix b = $coeff matrix mX = {xList} function matrix score(series y, series m, matrix mX) return {y - m} .* mX end function function void Hess(matrix *H, series m, matrix mX) #computes the negative Hessian for Poisson model H = mX'(mX .* {m}) end function matrix H = {} mle loglik = y*xb - m - lngamma(y+1) series xb = mX*b series m = exp(xb) deriv b = score(y, m, mX) hessian Hess(&H, m, mX) end mle --hessian </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users