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

[Robert Iquiapaza]

Seems that Litzenberger and Ramaswamy did not provide the likelihood
function within the article (I did not see the references), but they
included the normal equations of that function. You can use R to solve
that system of equations, the solutions will be your ML estimates.
?solve

Otherwise some  methods available in plm package or lme4 could help.

Robert

2013/11/11 nooldor <nooldor at gmail.com>:
> 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!
>
>
>
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