Hi Marco,
what exactly do you call the analytic hessian and the analytic asymptotic hessian. I seem to remember from Harvey that you need to run the Kalman filter for each derivative of the likelihood with respect to one parameter. Could you vectorize these operations?
Best
Michel
On 10/4/2011 3:23 PM, Marco Ratto wrote:
Hi Stephane, Thanks a lot. By the way, last week in Lisbon I hve completed the routines to compute the analytic hessian (not only the analytic asymptotic hessian). If the likelihood functions are now fully updated, I can try to plug-in the analytic scores in optimization, if desired by the user. For the moment just for testing, with a syntax in the end. Moreover, I can allow for analytic HEssian in place of numerical one.
OK? best Marco
On 10/3/2011 12:37 PM, Stéphane Adjemian wrote:
Hi Marco,
I have just pushed a fix for your optimization routines (mode_compute==5) and added in the testsuite a mod file (fs2000d.mod) calling your routines.
Best, Stéphane.
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