Hi,
My question in in the subject.
PROC NLP proposes several methods to compute covariance of the parameter estimates. Some of them are really uncommon (at least in econometrics). I would like obtain some references in particular for the methods M, B and U. Thank you
Hello @Camillus ,
PROC NLP is really a SAS legacy procedure (from SAS 9.3).
Such that people know what you are talking about , I put here a link to the (9.3) doc:
SAS/OR(R) 9.3 User’s Guide: Mathematical Programming Legacy Procedures
https://support.sas.com/documentation/cdl/en/ormplpug/64004/HTML/default/viewer.htm#ormplpug_nlp_sec...
The same six (6) types of covariance matrices are still there in PROC OPTMODEL
( The Nonlinear Programming Solver PROC OPTMODEL ).
Any reason why you stick to PROC NLP?
You can migrate your PROC NLP code to PROC OPTMODEL.
BR,
Koen
Thank you.
I'm used to using NLP and I don't know OPTMODEL. I am finishing an article using NLP. So I'm not going to change now but I'll look into that next time.
When you are ready to migrate, you might find this example helpful:
PROC NLP: Rewriting NLP Models for PROC OPTMODEL - 9.3 (sas.com)
Hello,
With regard to your original question , see :
Example 7.5: Approximate Standard Errors
at page 648 -- 653 ✦ Chapter 7: The NLP Procedure
https://support.sas.com/documentation/onlinedoc/or/132/nlp.pdf
Koen