Displaying 20 results from an estimated 2000 matches similar to: "BHHH algorithm"
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]
2007 Apr 09
1
R:Maximum likelihood estimation using BHHH and BFGS
Dear R users,
I am new to R. I would like to find *maximum likelihood estimators for psi
and alpha* based on the following *log likelihood function*, c is
consumption 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))});
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, Marc [AM]; R-help at stat.math.ethz.ch
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
2007 Nov 28
6
How to create data frame from data with unequal length
Hi,
I have two sets of data that I would like to put into a data frame. But
since they have different length, I am not sure how to do this. Here is an
example of my data:
data set one:
date growth
1/1/2007 10
1/2/2007 10.2
1/3/2007 10.4
1/4/2007 10.6
data set two:
date growth
1/1/2007 22
1/2/2007 22.5
1/4/2007 22.4
I would like to combine the two data sets and
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)
2005 Mar 03
1
total variation penalty
Hi,
I was recently plowing through the docs of the quantreg package by Roger
Koenker and came across the total variation penalty approach to
1-dimensional spline fitting. I googled around a bit and have found some
papers originated in the image processing community, but (apart from
Roger's papers) no paper that would discuss its statistical aspects.
I have a couple of questions in this
2009 Jul 08
1
Dantzig Selector
Hi,
I was wondering if there was an R package or routines for the Dantzig
Selector (Candes & Tao, 2007). I know Emmanuel Candes has Matlab
routines to do this but I was wondering if someone had ported those to
R.
Thanks,
T
---Reference---
@article{candes2007dantzig,
title={{The Dantzig selector: statistical estimation when p is much
larger than n}},
author={Candes, E. and Tao, T.},
2003 Mar 12
1
problems with numerical optimisation
Dear list,
this is not a particular R question but perhaps someone can help.
I am running a maximum likelihood estimation (competing risk duration
model with unobserved heterogeneity) on 30 different datasets. The
problem is that on 2 datasets 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
2012 Oct 28
6
Hausman test in R
Hi there,
I am really new to statistics in R and statistics itself as well.
My situation: I ran a lot of OLS regressions with different independent
variables. (using the lm() function).
After having done that, I know there is endogeneity due to omitted
variables. (or perhaps due to any other reasons).
And here comes the Hausman test. I know this test is used to identify
endogeneity.
But what I
2012 Oct 29
1
Hausman test error solve
Hello,
I am trying to conduct a Hausman test to choose between FE estimators and RE
estimators.
When I try to run:
library(plm)
fixed <- plm(ROS ~ DiffClosenessC +ZZiele + AggSK + nRedundantStrecken +
Degree + KantenGew + BetweennessC + SitzKappazitaet,
data=Panel,index=c("id","time"),model="within")
summary(fixed)
fixef(fixed)
random <-plm(ROS ~
2013 Apr 01
1
plm: Hausman Test error
Hi, I am trying to run a panel regression using 88 observations and 9
variables. In-built Hausman Test did not work, then I found a code for
auxiliary regression method for the Hausman test.
The panel models are:
fe=plm(gd ~ l+g+o+c+g1+h+n+r, model = "within", data = new.frame,index =
c("id"))
re=plm(gd ~ l+g+o+c+g1+h+n+r, model = "random", data = new.frame,index =
2007 Mar 18
1
Encoding and Compression --- where is the nitpick?
Greetings,
I'm playing aroung with the library and try to encode some PCM samples
out of a WAVE file.
I recognized that my own encoding is bigger than the encoding with the
command line tool and I can't figure out why it is so. I tried some API
functions to get a better result but I missed.
minimal test code:
http://stinfwww.informatik.uni-leipzig.de/~mai02cal/test.c
example wav:
2011 Jan 16
1
Hausman Test
Hi,
can anybody tell me how the Hausman test for endogenty works?
I have a simulated model with three correlated predictors (X1-X3). I also
have an instrument W for X1
Now I want to test for endogeneity of X1 (i.e., when I omit X2 and X3 from
the equation).
My current approach:
library(systemfit)
fit2sls <- systemfit(Y~X1,data=data,method="2SLS",inst=~W)
fitOLS <-
2011 Jan 17
2
How to still processing despite bug errors?
Hi, everybody.
I am working processing EEG data from 1000 pacients. I have a specific
syntax to perform the Spectral Analysis and a loop to analyse all subjects.
each subject data are in separate folders (P1, P2 P3...)
My question is: in some cases, some errors can appear in one subject. I want
to know if is possible to jump to the next subject and perform the same
syntax , exibiting an error
2004 Oct 04
1
BDS.TEST
UseRs,
I want to do a bds.test but the function return this :
> bds.test(erro.exp,m=15);
Error in as.vector(x, mode = "double") : (list) object cannot be coerced to
double
How can I fix this problem?
Thanks
savano
[[alternative HTML version deleted]]
2003 Dec 09
1
Font
UseR's,
I run R on Red Hat linux 8. I did some graphics using:
ps.options(paper="a4",horizontal=T,family="Times");
postscript(file="boxplotdistancia.eps");
boxplot(distancia);
dev.off()
How I change the font size?
Thanks for helping.
Savano
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).
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
2012 Jan 18
1
[LLVMdev] Pattern matching in a SelectionDAG
Hi,
I'm trying to write an LLVM backend using LLVM's retargetable code
generator, and I'm confused about how the SelectionDAG works. Let me give
you an example from the SPARC backend (as this is what is often mentioned
in the documentation). This is how the "branch always" instruction is
defined:
def BA : BranchSP<0b1000, (ins brtarget:$dst),