Re: [Gretl-users] Log-likelihood with Indicator function (IF-ELSE statement)
On Sat, 21 Jun 2014, Alecos Papadopoulos wrote:
Good afternoon.
I am running maximum likelihood using the script window.
I have the need to estimate a log-likelihood that has a different
functional form depending on whether the estimated value of the
variable(the residual) at each observation is lower or greater than zero.
In generic terms
if u_i <=0
mle logl_i = f(u_i, a, b)
else
mle logl_i = g(u_i, a, b)
endif
where u_i = y_i - c0 - c1*x_1i - c_2*x_2i and the coefficients c0,
c1, c2 are also under estimation, together with the variance terms a,b
I am not sure how to write the mle command for this case.
it should be quite easy if you use functions:
<pseudo-hansl>
function series f(series u, scalar a, scalar b)
[whatever]
end function
function series g(series u, scalar a, scalar b)
[whatever]
end function
function series loglik(series y, list X, matrix coef,
scalar a, scalar b)
series u = y - lincomb(X, coef)
series logl = (u>0) ? g(u, a, b) : f(u, a, b)
return logl
end function
mle ll = logl(y, X, coef, a, b)
coeff coef a b
end mle
</pseudo-hansl>
Hope this helps!
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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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