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Re: st: Second derivative for GMM
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: Second derivative for GMM
Date
Mon, 11 Jul 2011 15:15:08 -0500
No. The objective function is different. It is a quadratic form. Read
it up in the manual.
On Mon, Jul 11, 2011 at 1:33 PM, John Bates <[email protected]> wrote:
> Maybe I'm just confused, but I always thought the problem was to minimize the Objective Function E[xu] (where x are covariates and u is the residual). It is only equal to zero in the just-identified case. To minimize it, you would take the first derivative with respect to the parameters and set those equal to 0. But then you would need the second derivative for the Hessian, right?
>
>
>
> ----- Original Message -----
> From: Stas Kolenikov <[email protected]>
> To: [email protected]
> Cc:
> Sent: Thursday, July 7, 2011 7:24 PM
> Subject: Re: st: Second derivative for GMM
>
> On Thu, Jul 7, 2011 at 10:43 AM, John Bates <[email protected]> wrote:
>> Stata's GMM command allows the user to specify analytic first derivatives. Is there any way to specify the second derivatives? (Or will this functionality be added in future versions?) I would think that would speed the command up.
>
> I did not think the second derivatives play any role either in the
> theory of GMM or in numerical procedures. You are minimizing the GMM
> objective function; the Jacobian is a linear combination of the moment
> conditions, and the Hessian is the linear combination of the first
> order derivatives. Where do the second derivatives come into play?
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
>
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>
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--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/