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limitations of maximum likelihood estimations

limitations of maximum likelihood...

limitations of maximum likelihood...

Arnaud Bervas

Sunday, 19 February 2006 Sun, 19 Feb '06

3:50 p.m.

I have also tried with artificial data, but still doesn't work. I was about to reinstall Gretl to try again, but you will maybe find out what is wrong using the data attached. Thank you for this

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microst.gdt (application/x-gretldata — 1.7 KB)

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Riccardo Jack Lucchetti

Sunday, 19 February Sun, 19 Feb

4:35 p.m.

On Sun, February 19, 2006 16:50, Arnaud Bervas wrote:

I have also tried with artificial data, but still doesn't work. I was about to reinstall Gretl to try again, but you will maybe find out what is wrong using the data attached. Thank you for this

Maybe it depends on what version of gretl you're using, but I doubt it, since the ML code hasn't been touched for a while now. However, with the current CVS version, it works for me. I'm attaching the script I'm using and the corresponding output. -- Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona

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Allin Cottrell

5:33 p.m.

On Sun, 19 Feb 2006, Arnaud Bervas wrote:

I have also tried with artificial data, but still doesn't work. I was about to reinstall Gretl to try again, but you will maybe find out what is wrong using the data attached. Thank you for this

I've run the script with your data, no problem. But I think perhaps you were defining the MLE model in the gretl's gui MLE window -- is that right? I have discovered a bug -- now fixed in CVS -- with long expressions that include line breaks in that window. This fix will be in the next release. In the mantime, if you haven't already done so, try running your example in script mode. Allin Cottrell

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Riccardo Jack Lucchetti

5:45 p.m.

On Sun, February 19, 2006 18:33, Allin Cottrell wrote:

On Sun, 19 Feb 2006, Arnaud Bervas wrote: > I have also tried with artificial data, but still doesn't work. I > was about to reinstall Gretl to try again, but you will maybe find > out what is wrong using the data attached. Thank you for this I've run the script with your data, no problem. But I think perhaps you were defining the MLE model in the gretl's gui MLE window -- is that right? I have discovered a bug -- now fixed in CVS -- with long expressions that include line breaks in that window. This fix will be in the next release. In the mantime, if you haven't already done so, try running your example in script mode.

Or, perhaps, tidy up the syntax a little: mle loglik= log (p3*((1-p1)*x1+p1*(x2)) +(1-p3)*x3) scalar p1 = 1/(1+exp(-c1)) scalar p2 = 1/(1+exp(-c2)) scalar p3 = 1/(1+exp(-c3)) series x1 = (0.5*(1+p2))^BUY *(0.5*(1-p2))^SELL series x2 = (0.5*(1-p2))^BUY *(0.5*(1+p2))^SELL series x3 = 0.5^(BUY+SELL) params c1 c2 c3 end mle Not only you avoid long lines, you also have a much more readable script; further optimisations are possible, but I'm sure you get the idea. -- Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona

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3 comments

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Allin Cottrell
Arnaud Bervas
Riccardo Jack Lucchetti