[R] Reading Data from mle into excel?

[Bazman76]

Hi there,

I ran the following code:

vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
vols.csv" 
, header=TRUE, sep=",")
X<-ts(vols[,2])
#X


dcOU<-function(x,t,x0,theta,log=FALSE){
Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
}
OU.lik<-function(theta1,theta2,theta3){
n<-length(X)
dt<-deltat(X)
-sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
}

require(stats4)
require(sde)
set.seed(1)
#X<-sde.sim(model="OU",theta=c(3,1,2),N=10000,delta=1)
mle(OU.lik,start=list(theta1=1,theta2=1,theta3=1),
method="L-BFGS-B",lower=c(-Inf,-Inf,-Inf),upper=c(Inf,Inf,Inf))->fit
summary(fit)

#ex3.01 R
prof<-profile(fit)
par(mfrow=c(1,3))
plot(prof)
par(mfrow=c(1,1))
vcov(fit)

I run the code above and I get:

> summary(fit)
Maximum likelihood estimation

Call:
mle(minuslogl = OU.lik, start = list(theta1 = 1, theta2 = 1, 
    theta3 = 1), method = "L-BFGS-B", lower = c(-Inf, -Inf, -Inf), 
    upper = c(Inf, Inf, Inf))

Coefficients:
         Estimate  Std. Error
theta1 0.03595581 0.013929892
theta2 4.30910365 1.663781710
theta3 0.02120220 0.004067477

-2 log L: -5136.327 

I need to run the same analysis for 40 different time series.

I want to be able to collate all the estimates of theta and the associated
stadard errors and then transfer them into excel?

Can someone please point me to some R code that will allow me to do this?

Thanks



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