[R-SIG-Finance] re[R-sig-finance] gression problem

Bogaso bogaso.christofer at gmail.com
Tue Mar 10 10:10:05 CET 2009

You might try MLE, construct the liklihood function and then optimize it by
experimenting different choices of parameters. I have doubt how LS
estimation procedure can be employed here as parameters are nonlinear in

rechtsteiner wrote:
> dear useRs,
> i'm working with a mean reverting model of the following specification:
> y = mu + beta(x - mu) + errorterm, where mu is a constant
> currently I estimate just y = x (with lm()) to get beta and then  
> calculate mu = estimated intercept / (1-beta).
> but I'd like to estimate mu and beta together in one regression-step  
> and also get the test-statistics (including parameter variance) for mu  
> as well as for beta in the summary of the regression.
> could you please help me?
> thanks very much in advance!
> josuah
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

View this message in context: http://www.nabble.com/regression-problem-tp22419670p22430366.html
Sent from the Rmetrics mailing list archive at Nabble.com.

More information about the R-SIG-Finance mailing list