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Re: st: Second derivative for GMM


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Second derivative for GMM
Date   Thu, 7 Jul 2011 19:24:06 -0500

On Thu, Jul 7, 2011 at 10:43 AM, John Bates <lirac271@yahoo.com> 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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