search for: maxbhhh

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...

...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 for any bad coding, and ask if anyone can *direct me in finding these estimators*. Yours sincerely. *(1a) mle{stats4} (...

...;> 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 complicated models the newer R > wou...

Dear R Users: The functions of our "micEcon" package [1,2] can be subdivided into three categories: - microeconomic demand and firm models - sample selection models (mainly selection()) - routines for (likelihood) maximisation (e.g. maxLik(), maxNR(), maxBHHH()) (mainly used for ML estimation of sample selection models) Although sample selection models are often used in microeconomic analyses, they are also used in several other disciplines. Therefore, we are unsure whether it is better to keep these different functionalities in the micEcon packa...

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-so-nice gradients while...

...i.e. x_new=t_i -t_i-1. There are several observations for x_new. The Iplus_new and Iminus_new are the indicator variable showing whether the price was increasing or decreasing at duration x_new. Both Iminusless1 and Iplusless1 are lag variable of Iminus_new and Iplus_new respectively. aaa<- maxBHHH(LogLik, gradient, start=1) summary(aaa) [[alternative HTML version deleted]]

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