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))});
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}
(b) Usage:
mle(minuslogl, start = formals(minuslogl), method = "BFGS",
fixed = list(), ...)
(For this I use the negative of the log-likelihood function,bn)*
*(c) >mle(start=list(psi=1,alpha=0),fn, method="BFGS",fixed=list(c=c))*
Error in optim(start, f, method = method, hessian = TRUE, ...) :
non-finite finite-difference value [1]
*(2a) optim{stats}
(b) optim(par, fn, gr = NULL,
method = c("Nelder-Mead", "BFGS", "CG", "L-BFGS-B", "SANN"),*
*
lower = -Inf, upper = Inf,
control = list(), hessian = FALSE, ...)
(c) > optim(c(c,1,0),fn, method="BFGS", control=list(c=c))*
Error: argument "psi" is missing, with no default
*(3a) maxBHHH{micEcon}
(b) Usage: maxBHHH(fn, grad = NULL, hess=NULL, theta, print.level
= 0, iterlim = 100, ...)*
* *
*(c) > maxBHHH(fn(c,psi,alpha),theta=list(psi=1,alpha=0))*
Error in psi^(-1/alpha) * (lag(c[i], -1)) :
time-series/vector length mismatch
(4a) maxBFGS{micEcon}
(b) Usage: maxBFGS(fn, grad = NULL, theta, print.level = 0, iterlim = 200,
tol = 1e-06, ... )
*(ci) > maxBFGS(fn(c,psi,alpha),theta=list(psi=1,alpha=0))*
Error in psi^(-1/alpha) * (lag(c[i], -1)) :
time-series/vector length mismatch
*(cii)> maxBFGS(fn,theta=list(psi=1,alpha=0))*
Error: argument "psi" is missing, with no default
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