How to obtain the Hessian Matrix from the coefficients

[Romulo Salazar]

Hello. I´m working on a data panel with the ISURE method. The matrix of coefficients is stored at e(b), but I need the Hessian matrix of e(b). I don´t know how to calculate it. Any comment or suggestion will be constructive. The next step is to calculate the eigenvalues of the Hessian matrix. I appreciate any help you can provide.