How to get asymptotic covariance matrix


#1

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?

  1. inv(hh)

  2. inv(-hh)

  3. hh

  4. what else

Thanks in advance.


#2

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.


#3

Hi

shouldn’t that be

invhess = inv(hh./T)

where T is the sample size?


#4

Nope, I was actually wrong and inv(hh) is correct.