Hi,
I want to get an asymptotic covariance at mode.
I know that dynare stores the hessian(hh) in a file called MODEL_FILENAME_mode.mat.
To get an asymptotic covariance at mode, which way should I do afteropening mode file.mat?
inv(hh)
inv(-hh)
hh
what else
Thanks in advance.
Dynare uses
invhess = inv(hh); stdh = sqrt(diag(invhess)); oo_.posterior.optimization.Variance = invhess; The minus is not necessary, because the Hessian was computed on minus the log-likelihood function.
invhess = inv(hh); stdh = sqrt(diag(invhess)); oo_.posterior.optimization.Variance = invhess;
Hi
shouldn’t that be
invhess = inv(hh./T)
where T is the sample size?
Nope, I was actually wrong and inv(hh) is correct.