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Re: st: Linear regression using Mata optimize


From   rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Linear regression using Mata optimize
Date   Tue, 10 Feb 2009 08:52:05 -0600

Nicola Orsini <Nicola.Orsini@ki.se> asks:

> My question is why I'm not getting the correct variance-covariance matrix in
> the example below (simple linear regression) when using
> optimize_result_V(S).  Any thoughts on this?

I haven't looked at the Mata code closely, but I see that Nicola is comparing 
his program to -regress-.  -regress- gives OLS standard errors, which are 
_not_ maximum likelihood (ML).  They are REML.  The difference is one of 
dividing by n instead of (n-p), but it is enough to throw off the standard 
errors.

If Nicola wants to test his optimize() code, he should try comparing with 
-xtmixed, mle-, which fits ML linear regression as a degenerate case.

--Bobby
rgutierrez@stata.com
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