Hi everybody. I've just discovered that -estimates post- in version 7
seems to behave inconsistently when the covariance matrix being posted is
not positive definite. Sometimes it posts the matrix without complaint;
other times it bombs out with error 506, "matrix not positive definite". A
demonsration is below.
Any ideas about why -est post- might accept some non-pd matrices and not
others?
--Mark
* This covariance matrix is not positive definite,
* and -est post- will refuse to post it.
. mat list Vsave
symmetric Vsave[4,4]
L.
p w p _cons
p .00649023
w -.00412379 .001033
L.p -.00480518 .00311278 .00541914
_cons .15565638 -.03696101 -.14100874 1.592022
. mat list bsave
bsave[1,4]
L.
p w p _cons
y1 .19293435 .79621877 .08988469 16.236603
. matsqrt Vsave
matrix is not poisitive definite
r(504);
. est post bsave Vsave
matrix not positive definite
r(506);
* This matrix covariance matrix is also not positive definite,
* but -estimates post- will post it anyway.
. mat list Vsave2
symmetric Vsave2[4,4]
L.
p w p _cons
p .02953177
w -.0035374 .00122606
L.p -.02182449 .00140922 .01935147
_cons -.01117901 -.02100185 .0169305 1.0082315
. mat list bsave2
bsave2[1,4]
L.
p w p _cons
y1 .01730217 .81018271 .21623384 16.554759
. matsqrt Vsave
matrix is not poisitive definite
r(504);
. est post bsave2 Vsave2
. mat list e(V)
symmetric e(V)[4,4]
L.
p w p _cons
p .02953177
w -.0035374 .00122606
L.p -.02182449 .00140922 .01935147
_cons -.01117901 -.02100185 .0169305 1.0082315
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