[R-SIG-Finance] Rmetrics - Litzenberger and Ramaswamy (1979) MLE estimators in R?

[nooldor]

Hi!

Sorry for very direct and straight to the point question, but I just looking
around for some ideas of making my calculations easy. Shortly: because of
error-in-variable problem (EIV) the betas from OLS cannot be used for
testing market model (like CAPM). Litzenberger, R. and Ramaswamy, K.
proposed the solution for this by using maximum likelihood estimation - I am
wondering if it is possible to use it in R. If anyone would like to help I
can send the original article of Litzenberger and Ramaswamy to e-mail.
[I am very beginner in R]

I would like to run MLE regression similar to Litzenberger, R. and
Ramaswamy, K. (1979)  "The effects of personal taxes and dividends on
capital asset prices: Theory and empirical evidence", Journal of Financial
Economics, 7, 163–95
Does anyone did it in R?
Is there any package that can be use?
Can it be done with mle - function?

Thank you for answers! 



--
View this message in context: http://r.789695.n4.nabble.com/Rmetrics-Litzenberger-and-Ramaswamy-1979-MLE-estimators-in-R-tp4680219.html
Sent from the Rmetrics mailing list archive at Nabble.com.