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st: Mata : getting covariance matrix with optimize()
From
To Maxime <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Mata : getting covariance matrix with optimize()
Date
Tue, 8 Mar 2011 16:15:50 +0100
Hi all,
I sent a message a couple of weeks ago but have no answer.
I am using mata and the optimize function to estimate a model.
I try to use the Gauss Newton Algorithm to optimize my objective function. This works well. The problem is that mata does not compute the covariance matrix.
I had a look to ado files and it seems that since I specifyed a matrix of weights, stata automatically gives a zero matrix as the covariance matrix.
Can you tell me why is it so? Is there a way to ask stata/mata to compute the covariance matrix or do I have to compute it "by hand"?
Thanks;
Maxime
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