regression_diagnostics

Turn on regression diagnostics

Specification

  • Alias: None

  • Arguments: None

  • Default: no regression diagnostics

Description

When regression_diagnostics (NL2SOL’s rdreq) is specified and a positive-definite final Hessian approximation H is computed, NL2SOL computes and prints a regression diagnostic vector RD such that if omitting the i-th observation would cause alpha times the change in the solution that omitting the j-th observation would cause, then \(RD[i] = |alpha| RD[j]\). The finite-difference step-size tolerance affecting H is fd_step_size (NL2SOL’s delta0 and dltfdc).