Re: st: How to save a hessian matrix for post-estimation analysis?

[Gordon Hughes <G.A.Hughes@ed.ac.uk>]

There is no general answer to this question.  Further, it is unclear 
whether you are interested in recovering the Hessian for a standard 
Stata ML command or for an ML procedure that you have written yourself.

For standard Stata procedures, the Hessian option in -maximize- 
controls printed log output rather than what matrices are saved.  If 
you really need the Hessian, you will almost certainly have to modify 
the Stata procedure - producing your own variant -my_xxx- to persuade 
either -ml- or -optimize/moptimize- (in Mata) to return and save the 
Hessian in a specified Stata matrix.  Of course, this may be quite a 
lot of effort to avoid degenerate examples of e(V), most of which can 
be handled by some simple Mata commands calling either qrinv() or 
pinv() to construct a generalised inverse.

If you are writing your own ML procedure, then the most direct way of 
getting to the Hessian is to use -optimize- in a Mata procedure which 
provides optimize_result_Hessian as a way of recovering the Hessian.

Regards

Gordon Hughes
g.a.hughes@ed.ac.uk




====================================

Dear Statalist,

I'm looking for a way to save a hessian matrix. Specifically, when 
fitting a likelihood-based model, I know that specifying the option 
"hessian" can show the hessian matrix, but how can I store it for 
post-estimation analysis?

I don't wanna got the hessian matrix via "-1*invsym(e(V))", because 
under certain circumstances, that can't recover the original hessian 
matrix. (For example, when the hessian matrix is not negative 
definite, some columns and rows of the e(V) will be set to be zero. 
Then, "-1*invsym(e(V))" cannot recover the original hessian matrix.)

Thanks for the help in advance.

Best Regards,

Chi-lin Tsai


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