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

I pushed my changes to https://github.com/josef-pkt/statsmodels/commit/be7ce3c458b1ea1254384d9a29257f85df8a16f6

(I had a problem with exog_idx in du)

In this setting, epsilon 1e-4 and average hessian, newton always converges to Stata. I played with scaling the start_params, but it didn't seem to have much effect. bfgs also converges if the tolerance settings are tight enough. In the committed version, nm doesn't converge because of low maxfun, but what I tried before I never managed to get it to converge close to Stata for all parameters.

ncg converges to 7804.380185, but has a hessian not invertible warning

using approx_hess3 raised an exception only with ncg, but I didn't look closer

the various versions of calculating Hessians at the 7804 or the approx 5969 points where always positive definite, eigenvalues didn't look too bad