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Should the Hessian exactly match statsmodels? #54

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mattwigway opened this issue Oct 2, 2020 · 0 comments
Open

Should the Hessian exactly match statsmodels? #54

mattwigway opened this issue Oct 2, 2020 · 0 comments

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@mattwigway
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Right now the test for our custom Hessian code checks that the inverse Hessian matches that computed by statsmodels. The inverse Hessian is what we actually use, but the regular Hessian can be quite a bit different between statsmodels and our code, I think due to precision issues. Does the intermediate result matter?

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