Dear Reinhard On 2 January 2014 14:12, Reinhard Hössinger <reinhard.hoessin...@boku.ac.at> wrote: > I want to estimate an equation system with 3 nonlinear continuous > equations and one discrete choice (using multinomial logit for the > latter). For the nonlinear continuous equations, function nlsystemfit > {systemfit} seems to be appropriate. But what's about the discrete > choice? Its error component has a logistic distribution. Can it still be > incorporated in the equation system? Or can/must the error component be > treated in some way to be incorporated? I cannot find a reference to > discrete choices in the systemfit package description nor somewhere > else.
I guess that the econometric estimation of this type of model has not been implemented in any ready-to-use software package. Hence, you probably need to derive the log-likelihood function of this model, implement this function (and preferably also the derivatives/gradients with respect to the parameters), and maximize this log-likelihood function, e.g. with the R package "maxLik" (http://maxlik.org/). Best regards, Arne -- Arne Henningsen http://www.arne-henningsen.name ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.