Dynare forums

Hi all,

From what I understood, both the estimation command with analytic_derivation and the identification command compute the asymptotic Hessian of the log-likelihood (in the ML framework). Also, the estimation command stores this analytic Hessian in model_mode (hh) and the identification command stores it in idehess_point (AHess).

When I run my .mod file, these two matrices differ quite a bit, so I guess I'm missing something.

I would appreciate any help on it!

hi,

the estimation computes the Hessian analytically, not the asymptotic hessian. This should explain the difference.

Thanks Marco for the quick answer.

If I may add a question, which of the two matrices - analytic or asymptotic Hessian of the log-likelihood function - should be used to compute the ML covariance matrix?
And what should I conclude about identification if the analytical Hessian is full rank, while the asymptotic Hessian is not?

Many thanks!

Hi,

this looks tricky ... could you provide the model at hand?
thanks