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2007 Nov 06
0
Discrepancy of Neg. Binomial Estimation in R
...nif(obs) # Generate X matrix x = cbind(rep(1,obs),z) # Generate the dependent variable from a neg. binomial distribution phi = exp(x%*%beta) sigma_2 = 10 y = rnbinom(obs,size=phi/(sigma_2-1),mu=phi) # Neg. Binomial log-likelihood function like.nb=function(par,x,y) { phi_e=exp(x%*%par[1:2]) sig2_e=exp(par[3])+1 sum(lgamma(phi_e/(sig2_e-1)+y)-lgamma(phi_e/(sig2_e-1))+y*log((sig2_e-1)/sig2_e)-(phi_e/( sig2_e-1))*log(sig2_e)) } # Ng. Binomial regression b = solve(t(x)%*%x,(t(x)%*%y)) b = matrix(c(b,var(y)/mean(y)),nrow=3) # set initial value for means and variance nb.res = optim(b,like.nb,...