[Gretl-users] Re: MLE and binary (scalar) min and max operators
Am 20.02.2020 um 21:37 schrieb Alecos Papadopoulos:
Good evening. Will the mle command in gretl have any compatibility
problem if in the likelihood some of the parameters under estimation
appear also inside binary min and max operators
Spontaneously I'm skeptical, not because of any gretl limitations, but
because a min/max choice always means a discontinuity where derivatives
break down etc. So it doesn't look like a well-behaved problem for
"smooth" optimization. Maybe you would need a kind of switching algorithm.
But I may well be missing something, other input much appreciated.
cheers
sven