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From |
Kit Baum <[email protected]> |

To |
[email protected] |

Subject |
st: Re: hessian condition number |

Date |
Mon, 29 Mar 2004 07:12:34 -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.

Kit

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**Follow-Ups**:**Re: st: Re: hessian condition number***From:*Marcello Pagano <[email protected]>

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