literature about used hessian aproximation
Posted: Wed May 07, 2008 9:50 amHello,
Could you help me with literature links?
Dynare computes standard deviations for estimated parameters. Dynare compute finite difference approximation of log-likelihood functions Hessian. After that “the Gill-Murray generalized choleski decomposition” is used for transformation of computed Hessian. It makes matrix to be positive define, as I understand. Where could I find reasons for such transformation? Could it lead to asymptotically biased estimator of covariance matrix?
Thank you for your response
Could you help me with literature links?
Dynare computes standard deviations for estimated parameters. Dynare compute finite difference approximation of log-likelihood functions Hessian. After that “the Gill-Murray generalized choleski decomposition” is used for transformation of computed Hessian. It makes matrix to be positive define, as I understand. Where could I find reasons for such transformation? Could it lead to asymptotically biased estimator of covariance matrix?
Thank you for your response