Re: [Gretl-users] Mmultinormal likelihood

On Sat, 24 Nov 2018, Olasehinde Timmy wrote: > Dear Professors, > > I am writing to ask for your guidance. I am trying to estimate a system of > two variables jointly using multinormal distribution, however, my effort > has not been successful. > > Please, see the code/syntax I am trying to run in the bold form below. > Could you please help to see if something was not right with the code. > > I hope to receive a response from you soon. > > #The hansl syntax# > *scalar beta1= 4.3 * > *scalar beta2= 0.16 * > *scalar alfa1= 0.0097* > *scalar alfa2= 0.02* > *scalar mlog2pi = 2*log(2*acos(-1))* > *series e1= a - beta1 - beta2*a(-1)* > *series e2= b - alfa1 - alfa2*b(-1)* > *series es1 = e1^2* > *series es2 = e2^2* > *series v1= var(e1)* > *series v2= var(e2)* > *series v12 = cov(e1,e2)* > *series de = v1*v2 - v12^2* > *series iv1 = v1/de* > *series iv2 = v2/de* > *series iv3 = v12/de* > *mle ll = -0.5*(mlog2pi + log(de) + (iv1*es1 + iv2*es2 + 2*iv3*e1*e2)) * > * params beta1 beta2 alfa1 alfa2* > * end mle* You need to make your parameters do something, and you can do that by moving the relevant series calculations into the "mle" block -- then the various series will be updated when the parameters are changed. So something like the following: <hansl> nulldata 100 series a = normal() series b = normal() scalar beta1 = 4.3 scalar beta2 = 0.16 scalar alfa1 = 0.0097 scalar alfa2 = 0.02 scalar mlog2pi = 2*log(2*acos(-1)) mle ll = -0.5*(mlog2pi + log(de) + (iv1*es1 + iv2*es2 + 2*iv3*e1*e2)) series e1 = a - beta1 - beta2*a(-1) series e2 = b - alfa1 - alfa2*b(-1) series es1 = e1^2 series es2 = e2^2 series v1 = var(e1) series v2 = var(e2) series v12 = cov(e1,e2) series de = v1*v2 - v12^2 series iv1 = v1/de series iv2 = v2/de series iv3 = v12/de params beta1 beta2 alfa1 alfa2 end mle </hansl> _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users