The HPCOUNTREG Procedure

The COVEST= option in the PROC HPCOUNTREG statement enables you to specify the estimation method for the covariance matrix. COVEST=HESSIAN estimates the covariance matrix that is based on the inverse of the Hessian matrix; COVEST=OP uses the outer product of gradients; and COVEST=QML produces the covariance matrix that is based on both the Hessian and outer product matrices. Although all three methods produce asymptotically equivalent results, they differ in computational intensity and produce results that might differ in finite samples. The COVEST=OP option provides the covariance matrix that is typically the easiest to compute. In some cases, the OP approximation is considered more efficient than the Hessian or QML approximation because it contains fewer random elements. The QML approximation is computationally the most complex because it requires both the outer product of gradients and the Hessian matrix. In most cases, the OP or Hessian approximation is preferred to QML. The need for QML approximation arises in cases where the model is misspecified and the information matrix equality does not hold. The default is COVEST=HESSIAN.