R help - Jul 2003 - Hypothesis testing after optim

Hi folks:  Does anyone know of a way to do (linear) hypothesis tests of
parameters after fitting a maximum-likelihood model w/ optim?  I can't seem
to find anything like a Wald test whose documentation says it applies to
optim output.  

Also, thanks again to everyone who gave me feedback on the robustness of ML
estimation in R!

Peter


********************************
********************************
Peter Muhlberger
Visiting Professor of Political Science
Institute for the Study of Information Technology and Society (InSITeS)
Carnegie Mellon University

For nested models, 2*log(likelihood ratio) is approximately chi-square 
with degrees of freedom = the number of parameters estimated for the 
larger model that were not in the smaller model minus any additional 
constraints.  You can compute 2*log(likelihood ratio) as twice the 
difference in the log(likelihoods) at the optimum and then use pchisq to 
conver that to a significance probability.

hope this helps.  spencer graves

Peter Muhlberger wrote:
> Hi folks:  Does anyone know of a way to do (linear) hypothesis tests of
> parameters after fitting a maximum-likelihood model w/ optim?  I can't
seem
> to find anything like a Wald test whose documentation says it applies to
> optim output.  
> 
> Also, thanks again to everyone who gave me feedback on the robustness of ML
> estimation in R!
> 
> Peter
> 
> 
> ********************************
> ********************************
> Peter Muhlberger
> Visiting Professor of Political Science
> Institute for the Study of Information Technology and Society (InSITeS)
> Carnegie Mellon University
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help

Hi Peter,

Here are two links that may be useful:

ML hypothesis tests:
http://statgen.iop.kcl.ac.uk/bgim/mle/sslike_5.html

ML confidence bounds:
http://www.weibull.com/LifeDataWeb/likelihood_ratio_confidence_bounds.htm


Yours,

G?bor
-- 
Gabor BORGULYA MD MSc
Semmelweis University of Budapest, 2nd Dept of Paediatrics
Hungarian Paediatric Cancer Registry
phone: +36 - 1 - 4591500 / 2834