Displaying 14 results from an estimated 14 matches for "bhhh".
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2003 Aug 04
1
BHHH algorithm
Dear R users,
Could you tell me where a I find some references of BHHH algorithm ? I need
write it in R.
Thank you.
2012 Feb 21
0
BHHH algorithm on duration time models for stock prices
I am currently trying to find MLE of a function with four parameters. My codes run well but i don't get the results. I get the following message:
BHHH maximisation
Number of iterations: 0
Return code: 100
Initial value out of range.
I don't know this is so because of the way i have written my loglikelihood or what.
The loglikelihood
LogLik<-function(param){
beta_1<-param[1]
beta_2<-param[2]
beta_3<-param[3]
beta_4<-param[4]...
2011 Sep 05
3
function censReg in panel data setting
Hello all,
I have a problem estimating Random Effects model using censReg function.
small part of code:
UpC <- censReg(Power ~ Windspeed, left = -Inf, right =
2000,data=PData_In,method="BHHH",nGHQ = 4)
Error in maxNRCompute(fn = logLikAttr, fnOrig = fn, gradOrig = grad,
hessOrig = hess, :
NA in the initial gradient
...then I tried to set starting values myself and here is the error what I
got:
UpC <- censReg(Power ~ Windspeed, left = -Inf, right =
2000,data=PData_In,met...
2007 Apr 09
1
R:Maximum likelihood estimation using BHHH and BFGS
...tion data comprising 148 entries:
fn<-function(c,psi,alpha)
{
s1<-sum(for(i in 1:n){(c[i]-(psi^(-1/alpha)*(lag(c[i],-1))))^2*
(lag(c[i],-1)^((-2)*(alpha+1))
)});
s2<- sum(for(m in 1:n){log(lag(c[m],-1)^(((2)*alpha)+2))});
constant-(74*s1)-(1/2)*s2}
In particular I want to use the BHHH and the BFGS algorithms. I have found
the following packages that can be used for the task: *mle{stats4},
optim{stats}, maxBHHH{micEcon}, maxBFGS{micEcon}*. I have documented some of
my attempts below ((a) package name (b) usage (c) my attempt and
corresponding error). In all humility I apologise...
2011 May 03
3
help with the maxBHHH routine
Hello R community,
I have been using R's inbuilt maximum likelihood functions, for the
different methods (NR, BFGS, etc).
I have figured out how to use all of them except the maxBHHH function. This
one is different from the others as it requires an observation level
gradient.
I am using the following syntax:
maxBHHH(logLik,grad=nuGradient,finalHessian="BHHH",start=prm,iterlim=2)
where logLik is the likelihood function and returns a vector of observation
level likel...
2003 Jul 10
0
FW: Maximum Likelihood Estimation and Optimisation
Have a look at ?optim. I don't think it has the BHHH algorithm as an
option, though.
===========================================
David Barron
Jesus College
University of Oxford
-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of Harold Doran
Sent: 10 July 2003 15:43
To: Fohr...
2003 Mar 12
1
problems with numerical optimisation
...sets the model does not converge. I am
interested if there are any methods, based on the gradients or (an
approximation of) the hessian which helps to determine what is the
problem. Can anybody recommend a good textbook about numerical
optimisation?
Currently I am using 100 BFGS iterations + 100 BHHH iterations and I
have programmed analytic gradients. The fool-proof method of
excluding the variables one-by-one and simplifying the structure is
quite a slow and not particularily insightsful.
Thanks in advance
Ott
2011 Nov 27
0
Need Help with my Code for complex GARCH (GJR)
...= S-1, b3= S-1, b4= S-1, dum = S-1, alpha0 = S^2, alpha = S, beta
= S)
upperB = c(a = 10*abs(Mean), di = 1-S, mi = 1-S, do = 1-S, fr =1-S, b1 =
1-S, b2 = 1-S,b3 = 1-S, b4 = 1-S, dum = 1-S, alpha0 = 100*Var, alpha = 1-S,
beta = 1-S)
fitt<-maxLik(start=param, logLik=garch2,method="BHHH",
x=dat2$r_csi,Di=dat2$Di,Mi=dat2$Mi,Do=dat2$Do,Fr=dat2$Fr,y=dat2$r_t,z=dat2$r_sp,d=dat2$f)
Note that optim always breaks down:
nlminb and the BFGS and BHHH algorithmus from the maxLik-package work fine.
The estimated coefficients are similiar to those of the EVIEWS Estimation.
So I guess,...
2020 Oct 08
0
[External] Re: unable to access index for repository...
Oh Hi Arne,
You may recall we visited with this before. I do not believe the problem is algorithm specific. The algorithms I use the most often are BFGS and BHHH (or maxBFGS and maxBHHH). For simple econometric models such as probit, Tobit, and evening sample selection models, old and new versions of R work equally well (I write my own programs and do not use ones from AER or sampleSekection). For more complicated models the newer R would converge with not...
2020 Oct 09
1
[External] Re: unable to access index for repository...
>>>>> Steven Yen
>>>>> on Fri, 9 Oct 2020 05:39:48 +0800 writes:
> Oh Hi Arne, You may recall we visited with this before. I
> do not believe the problem is algorithm specific. The
> algorithms I use the most often are BFGS and BHHH (or
> maxBFGS and maxBHHH). For simple econometric models such
> as probit, Tobit, and evening sample selection models, old
> and new versions of R work equally well (I write my own
> programs and do not use ones from AER or
> sampleSekection). For more complicate...
2011 Oct 06
1
sum of functions
Dear all,
I would like to create a code for semiparametric Klein and Spady's
estimator. For that I created a function that provides the log-likelihood
function for each observation (so it is a function of betas and i, where i
denotes the observation). Now, in order to maximize the log-likelihood
function, I have to sum these log-likelihood functions for each i and so to
get another function
2011 Sep 15
2
Tobit Fixed Effects
Hi there,
I need to run a Tobit Fixed Effects in a panel data with 4500 units for 8
years. It is a huge data set, my dependent variable is left truncated at
zero, the distribution is skewed and my panel is balanced.
Any suggestions on how to do that in R?
I tried stuff like survreg, censReg, and tobit but none of them were
satisfactory.
Thanks,
*Felipe Nunes*
CAPES/Fulbright Fellow
PhD
2020 Oct 08
2
[External] Re: unable to access index for repository...
Hi Steven
Which optimisation algorithms in maxLik work better under R-3.0.3 than
under the current version of R?
/Arne
On Thu, 8 Oct 2020 at 21:05, Steven Yen <styen at ntu.edu.tw> wrote:
>
> Hmm. You raised an interesting point. Actually I am not having problems with aod per se?-it is just a supporting package I need while using old R. The essential package I need, maxLik, simply
2010 May 10
2
Robust SE & Heteroskedasticity-consistent estimation
Hi,
I'm using maxlik with functions specified (L, his gradient & hessian).
Now I would like determine some robust standard errors of my estimators.
So I 'm try to use vcovHC, or hccm or robcov for example
but in use one of them with my result of maxlik, I've a the following
error message :
Erreur dans terms.default(object) : no terms component
Is there some attributes