Re: [Gretl-users] MLE with piecewise density (Gretl-users Digest, Vol 89, Issue 19)
On Wed, 4 Feb 2015, Alecos Papadopoulos wrote:
*Based on the above, I tried a simpler case, estimating parameters
(no
regression), (and with a sample of 3 so as to do it also by hand and check
results), as follows
[...]
*I guess this is pretty simple, and the problem is just my
inexperience, but
I cannot understand the expectations of the software here.* *So I am calling
for help again.** Thank you.
There were a couple of syntax error when declaring/calling functions: (a)
you didn't use the "return" keyword in your negbr/posbr functions, and (b)
you shouldn't use type specifiers (scalar, series etc) when calling your
functions. See below:
<hansl>
nulldata 4
series Z = {-1, 1, 2, 1}
scalar s1 = 1
scalar s2 = 1
function series negbr(series Z, scalar s1, scalar s2)
return -ln(s1+s2)+ (1/s2)*Z
end function
function series posbr(series Z, scalar s1, scalar s2)
return -ln(s1+s2)-(1/s1)*Z
end function
function series loglik(series Z, scalar s1, scalar s2)
series liky = (Z>0)? posbr(Z, s1, s2): negbr(Z, s1, s2)
return liky
end function
mle logl = loglik(Z, s1, s2)
params s1 s2
end mle --verbose
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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