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

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). Have a nice weekend Leon <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(matrix b, series y, matrix mX) series e = y - exp(mX'b) return {e} .* mX' end function function void Hess(matrix *H, matrix b, series y, matrix mX) #computes the negative Hessian for Poisson model, H = -(qform(mX, (mX'b)*(mX'b)')) end function matrix H = {} mle loglik = y*Xb - exp(Xb) series Xb = mX'b deriv b = score(b, y, mX) hessian Hess(&H, b, y, mX) end mle # How to replicate --hessian with the 'Hess' function ? mle loglik = y*Xb - exp(Xb) series Xb = mX'b deriv b = score(b, y, mX) end mle --hessian <hansl>