Ajay,

Bayesm deals with this very issue in choice modelling (a form of econometric modelling as outlined in the article).  I think those guys (the developers of Bayesm) and the apprach they recommend for navigating the likelihood function through a bayesian approachs makes a lot of sense to me, in fact I think they are really onto something amazing here.

I am still trying to get the execution side of things from this package adequately sorted for my own purposes.   

Paul


> Ajay Shah <ajayshah@mayin.org> wrote:
> 
> I wondered was people on this list felt about this article:
>   http://www.voxeu.org/index.php?q=node/2363
> which talks about the problems of obtaining sound answers in numerical
> optimisation in settings such as MLE or NLS.
> 
> -- 
> Ajay Shah                                      
> http://www.mayin.org/ajayshah  
> ajayshah@mayin.org                             
> http://ajayshahblog.blogspot.com
> <*(:-? - wizard who doesn't know the answer.
> 
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