statsmodels/statsmodels — comment on commit 17540867ef660d39bc19e15526adcf342ff2c44b
File:  line 0
By jseabold:

The only methods that use our hessian in estimation are newton and ncg I think.

That's odd about Newton, IIRC, it does not converge now with the
starting values as I left it. The true_params are from Stata. The
original reference is Ray C. Fair "A Theory of Extramarital Affairs"
(used in Greene a few times as an example for other estimators). The
estimates in it are as close to those of Stata as I'd expect a 1976
implementation of MLE to be. The LLF for this model is about
7804.380185. I also see "convergence" around 5970 and 8100 give or
take. I'd expect 8100 to be the highest (minimized negative)
likelihood, if all is well. I will try to feed the starting values
into Stata tomorrow, and see what comes out. I take it the Hessian's
positive definite at these points? I didn't check. I still need to
spend some time with Bierens, Olsen, and Tobin's papers.