Displaying 1 result from an estimated 1 matches for "sigmastar".
Did you mean:
sigmastat
2008 Jun 16
1
Error in maximum likelihood estimation.
...heta[nx+nz+3]
y <- as.matrix(dt[, 1], ncol = 1)
x <- as.matrix(data.frame(1, as.matrix(dt[, 2:(nx+1)], ncol = 2)))
z <- as.matrix(dt[, (nx+2):(nx+nz+1)], ncol = nz)
d <- z %*% delta / (gamma * sigma2)^.5
mustar <- (1-gamma) * z %*% delta - gamma * ( y - x %*% beta)
sigmastar <- (gamma * (1-gamma) * sigma2)^.5
dstar <- mustar / sigmastar
loglik <- (-0.5 * nrow(x) *(log(2*pi) + log(sigma2))
-0.5 * sum(( y - x %*% beta + z %*% delta)^2/sigma2)
-sum(log(pnorm(d))) + sum(log(pnorm(dstar))))
return(-loglik)
}
-------------------...