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.
Kit
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
