Am 30.09.2021 um 16:32 schrieb Paolo Chirico:
Hi, I have to estimate a State Space model where a parameter must have values in a range (between two limit values: L1 and L2) I can't define the derivates (i.e. numeric MLE). Do you have any suggestions?
Hi, the standard trick would be to map the parameter to an unrestricted range for example with a CDF (or actually, its inverse). So for example, you have the restriction L1 < beta < L2. You could replace beta by: L1 + cdf(b) * (L2-L1). Since cdf(b) is always between 0 and 1, the whole expression will be between L1 and L2 by construction, honoring your restriction. But b is freely varying, so formally no constrained estimation is needed. And the mapping is monotonous. Of course if you need standard errors for beta, things get more complicated, but at the boundaries L1 and L2 they're not well defined anyway, I'd say. The above is just an example, surely not the most efficient solution. cheers sven _______________________________________________ Gretl-users mailing list -- [email protected] To unsubscribe send an email to [email protected] Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
