[R] Zero Columns/Rows in Hessian Matrix
eespinola at miners.utep.edu
Mon Jul 11 18:18:08 CEST 2011
Hello R users,
I am trying to get the Std. errors of some estimators using the optim
function. But when computing them using sqrt(diag(solve(ans$hessian))) I
get an error that says... Lapack routine dgesv: system is exactly singular.
Or sometimes I also get that system is computationally singular. When I
check the Hessian matrix it has at least one column&row of mostly zeros. My
estimators are really close to the true values so I dont know why the std.
errors wont come out. Any ideas or suggestions on how to fix this?
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