FW: [R] Maximum Likelihood Estimation and Optimisation

[David Barron]

Have a look at ?optim.  I don't think it has the BHHH algorithm as an
option, though.

===========================================
David Barron
Jesus College
University of Oxford


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of Harold Doran
Sent: 10 July 2003 15:43
To: Fohr, Marc [AM]; R-help at stat.math.ethz.ch
Subject: RE: [R] Maximum Likelihood Estimation and Optimisation


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
703.647.1628




-----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


Hello,

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

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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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