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Anyone know how it is calculated the covariance matrix?
On User's Guide says is the multiplication of the gradients, and raised to
-1:
[image: Imágenes integradas 1]
But it is'nt worked.
Thank you.
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Am 30.08.2016 um 22:36 schrieb Mario Florez Porras:
Anyone know how it is calculated the covariance matrix?
On User's Guide says is the multiplication of the gradients, and raised
to -1:
Imágenes integradas 1
But it is'nt worked.
Please show exactly what you tried to do, and what error you're getting.
thanks,
sven
Here is Octave code which produces the same covariance values as gretl:
degrees_of_freedom = cases-predictors;
coefficients = 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;
From: Mario Florez Porras <mario.florez.porras(a)gmail.com>
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?
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