Re: [Gretl-users] PIN Estimation.
On Tue, 27 Jul 2010, Josephine Sudiman wrote:
I am Josephine, currently having problem on how to do maximum
likelihood for PIN (Probability of Informed Trading) estimation
for my data. I give the brief information of this model
(proposed initially by Easley, Kiefer, O'Hara and Paperman,
1996) and the sample of my data in the attachment. Thank you very
much in advance for your kind attention.
Hello Josephine,
Maybe somebody else on the list is familiar with the PIN model;
I'm afraid I'm not so I can only offer some generic tips.
(1) Your data can be read into gretl if you save them in
traditional Excel format (.xls file) or as comma-separated values.
(2) Chapter 17 of the Gretl User's Guide explains how to formulate
and maximize a likelihood function, with several examples.
(Analytical derivatives of the log-likelihood with respect to the
parameters are helpful but not required.)
Allin Cottrell