|From||Marcello Pagano <firstname.lastname@example.org>|
|Subject||Re: st: Re: hessian condition number|
|Date||Mon, 29 Mar 2004 07:45:34 -0500|
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.
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