[Gretl-users] MLE Advanced

From: Mario Florez Porras <mario.florez.porras(a)gmail.com&gt; To: gretl-users(a)lists.wfu.edu Sent: Tuesday, August 30, 2016 4:36 PM Subject: [Gretl-users] MLE Advanced Anyone know how it is calculated the covariance matrix? Here is Octave code which produces the same covariance values as gretl: degrees_of_freedom = cases-predictorscoefficients = pinv(IV)*DV estimates = IV*coefficients; residuals = DV-estimates; SSres = residuals'*residuals; residual_variance = SSres/degrees_of_freedom; N=IV'*IV; Ni=inv(N); covariance_matrix = Ni*residual_variance;