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Re: st: Second derivative for GMM

From   Stas Kolenikov <>
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 <> 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
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