Re: [Gretl-users] Restrict params in MLE

On Sat, 25 Jun 2011, savos schmagges wrote: > Dear gretl-community, > > is it possible to impose restrictions inside a mle-command? > e.g. i want to impose that a parameter d should be estimated higher > or equal to a parameter > b. > so i am searching for something like that: > > mle logl=... > ... > d>=b > params d b > end mle > > Is there any possibility to account for that?? Not directly. However, to achieve what you want you may reparametrise your model in such a way that the problem becomes unconstrained. Example: suppose you have 2 parameters, b and d, and that you want to ensure that d>b. You may define a scalar g such that d = b + exp(g) and maximise your loglikelihood in the b-g space, as in <hansl> mle logl = ... ... d = b + exp(g) params b g end mle </hansl> Of course, you should choose the initial value for g in a sensible way. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users