Good morning. A few months back I queried regarding executing MLE from the script window with a piecewise density. It was suggested that << 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! ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) *Based on the above, I tried a simpler case, estimating parameters (no regression), (and with a sample of 3 so as to do it also by hand and check results), as follows** (I use the density of the difference of two independent exponentials with different parameters) * nulldata 3 #series Z = {-1, 1, 2} scalar s1 =1 scalar s2 = 1 function series negbr(series Z, scalar s1, scalar s2) -ln(s1+s2)+ (1/s2)*Z end function function series posbr(series Z, scalar s1, scalar s2) -ln(s1+s2)-(1/s1)*Z end function function series loglik(series Z, scalar s1, scalar s2) series liky = (Z>0)? posbr(series Z, scalar s1, scalar s2): negbr(series Z, scalar s1, scalar s2) return liky end function mle logl = loglik(Z, s1, s2) params s1 s2 end mle --verbose *and what I get as a reply is* gretl version 1.9.92 Current session: 2015-02-04 06:48 Expected ',' but found 'Z' Expected ':' but found 'Z' Syntax error *** error in function loglik, line 1 Error executing script: halting *I guess this is pretty simple, and the problem is just my inexperience, but I cannot understand the expectations of the software here.* *So I am calling for help again.** Thank you. * Alecos Papadopoulos Athens University of Economics and Business, Greece Department of Economics cell:+30-6945-378680 fax: +30-210-8259763 skype:alecos.papadopoulos