Hi everyone:
my likelihood function involves the shape parameter of the skew-normal in addition to other parameters.
I used both optim and nlm function to find the MLS's.
However, every time that I use a different initial value for the shape parameter, I get a different
estimate for it. No such problem with other parameters when I exclude the skew-normal shape parameter.
Any advice in this regards will be greatly appreciated.
 
Best,

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Keramat Nouri
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