[R] Different standard errors from R and other software

From: Min Chen <chenmin0905_at_gmail.com>
Date: Fri, 25 Jun 2010 17:47:14 -0400


Hi all,

    Sorry to bother you. I'm estimating a discrete choice model in R using the maxBFGS command. Since I wrote the log-likelihood myself, in order to double check, I run the same model in Limdep. It turns out that the coefficient estimates are quite close; however, the standard errors are very different. I also computed the hessian and outer product of the gradients in R using the numDeriv package, but the results are still very different from those in Limdep. Is it the routine to compute the inverse hessian that causes the difference? Thank you very much!

     Best wishes.

Min

-- 
Min Chen
Ph.D. Candidate
Department of Agricultural, Food, and Resource Economics
125 Cook Hall
Michigan State University

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Received on Sat 26 Jun 2010 - 09:42:22 GMT

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