Nicola Orsini <[email protected]> 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
[email protected]
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