[R] Maximum Likelihood Estimation and Optimisation

Harold Doran hdoran at nasdc.org
Thu Jul 10 16:43:11 CEST 2003

Well, lm() produces an OLS solution, which are also MLE solutions for the fixed effects. I think this is an easy way, although maybe not the best. 

BHHH is a numerical approximation that can be used when a closed form solution is not available. It is less sophisticated than Newton-Raphson.

Is this helpful?

Harold C. Doran
Director of Research and Evaluation
New American Schools
675 N. Washington Street, Suite 220
Alexandria, Virginia 22314

-----Original Message-----
From: Fohr, Marc [AM] [mailto:marc.fohr at first-private.de]
Sent: Thursday, July 10, 2003 10:17 AM
To: R-help at stat.math.ethz.ch
Subject: [R] Maximum Likelihood Estimation and Optimisation


I want to calculate a maximum likelihood funktion in R in order to solve for the parameters of an estimator. Is there an easy way to do this in R? How do I get the parameters and the value of the maximum likelihood funktion. 

More, I want to specify the algorithm of the optimisation above: BHHH (Berndt Hall Hall Hausman). Is this possible?

Thanks a lot for your help and best regards


Marc Fohr, CFA
Equity Portfolio Manager
First Private Investment Management
Neue Mainzer Strasse 75
D-60311 Frankfurt/Main
Phone: ++49 - 69 - 2607 5424
Fax: ++49 - 69 - 2607 5440
Email: marc.fohr at first-private.de

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