Re: st: Re: hessian condition number

[Marcello Pagano <pagano@hsph.harvard.edu>]

The log is a measure of how many digits of accuracy are lost in the 
calculations with floating point arithmetic.  Been around a long time.

m.p.

Kit Baum wrote:


> On Mar 28, 2004, at 2:33 AM, Clive wrote:
>
> > OK, I think I've solved my own question of finding log10(hessian) in
> > Stata. Please alert me if I've gone wrong somewhere.
> >
> > (1) Get -ereturn list-;
> >
> > (2) get -matrix list e(V)-;
> >
> > (3) calculate the hessian condition number = [max root/min root]^1/2 (as
> >     given in Greene, 2000: 40) (can you calculate the hessian directly in
> >     Stata?);
> >
> > (4) -display log10([hcn])-.
> >
> > In step (3), I can only assume 'roots' means covariances. If so, I find
> > that the interchanging of these terms is a bit confusing! Is all this
> > correct?
> ]
> The condition number of a p.d. matrix is related to the ratio of its 
> largest to smallest eigenvalues. They are the roots of the 
> characteristic polynomial of the matrix. "findit condition number". I 
> have never heard of taking the log10 of the condition number; 
> well-conditioned regressor matrices are usually condition<20 (with 
> condition being the positive sqrt of the ratio). See Belsley et al. as 
> referenced under [r] regression diagnostics.
>
> Kit
>
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