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st: Finding log10(hessian condition number of a regression matrix)


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Finding log10(hessian condition number of a regression matrix)
Date   Sun, 28 Mar 2004 03:38:18 +0100 (BST)

All,

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?

CLIVE NICHOLAS        |t: 0(44)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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