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?
Thanks in advance.
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.
shouldn’t that be
invhess = inv(hh./T)
where T is the sample size?
Nope, I was actually wrong and inv(hh) is correct.