statsmodels/statsmodels — comment on commit 17540867ef660d39bc19e15526adcf342ff2c44b
File:  line 0
By josef-pkt:

Ok, I also just realized that you use sigma and not sigma squared. I added an abs into the two reparameterization functions, and now Newton converges to the same Stata result, even if I start with the powell starting values. I have no idea why powell still converges to the negative parameter case as before.

What I usually do is to square sigma in the log likelihood function, so that it is forced to be positive, independent of the sign of that the optimizer is trying out.

I wanted to get nasty on the sign changes, and changed the sign of the starting parameters -- but it didn't have any effect.

It looks like the Stata, and the newton ang bfgs results that I get are the optimum with positive scale/variance.