R help - Jan 2014 - Discrete-continuous equation system in R

Hi all,

 
I want to estimate an equation system with 3 nonlinear continuous
equations and one discrete choice (using multinomial logit for the
latter). For the nonlinear continuous equations, function nlsystemfit
{systemfit} seems to be appropriate. But what's about the discrete
choice? Its error component has a logistic distribution. Can it still be
incorporated in the equation system? Or can/must the error component be
treated in some way to be incorporated? I cannot find a reference to
discrete choices in the systemfit package description nor somewhere
else.

 
Reinhard H?ssinger

Dear Reinhard

On 2 January 2014 14:12, Reinhard H?ssinger
<reinhard.hoessinger at boku.ac.at> wrote:
> I want to estimate an equation system with 3 nonlinear continuous
> equations and one discrete choice (using multinomial logit for the
> latter). For the nonlinear continuous equations, function nlsystemfit
> {systemfit} seems to be appropriate. But what's about the discrete
> choice? Its error component has a logistic distribution. Can it still be
> incorporated in the equation system? Or can/must the error component be
> treated in some way to be incorporated? I cannot find a reference to
> discrete choices in the systemfit package description nor somewhere
> else.
I guess that the econometric estimation of this type of model has not
been implemented in any ready-to-use software package. Hence, you
probably need to derive the log-likelihood function of this model,
implement this function (and preferably also the derivatives/gradients
with respect to the parameters), and maximize this log-likelihood
function, e.g. with the R package "maxLik" (http://maxlik.org/).

Best regards,
Arne

-- 
Arne Henningsen
http://www.arne-henningsen.name