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sigsep
2007 May 24
3
Problem with numerical integration and optimization with BFGS
...)) { # TO USE IN THE
lambda[i] <- y[i+1]/y[i] # RE-PARAMETRIZATION BELOW
}
lstar <- (min(lambda)-0.01)
# NOTE RE-PARAMETRIZATION
# THESE RESTRICTIONS EMERGE FROM THE MODEL
muep <- alpha[1] # NO RESTRICTION
sigep <- 0.01 + exp(alpha[2]) # greater than
0.01
sigeta <- 0.01 + exp(alpha[3]) # greater than
0.01
rho2 <- 0.8*sin(alpha[4]) # between -0.8
and 0.8
rho1 <- lstar*abs(alpha[5])/(1+abs(alpha[5])) # betwee...