Have a look at ?optim. I don't think it has the BHHH algorithm as an option, though.
=========================================== David Barron Jesus College University of Oxford -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] Behalf Of Harold Doran Sent: 10 July 2003 15:43 To: Fohr, Marc [AM]; [EMAIL PROTECTED] Subject: RE: [R] Maximum Likelihood Estimation and Optimisation Well, lm() produces an OLS solution, which are also MLE solutions for the fixed effects. I think this is an easy way, although maybe not the best. BHHH is a numerical approximation that can be used when a closed form solution is not available. It is less sophisticated than Newton-Raphson. Is this helpful? ------ Harold C. Doran Director of Research and Evaluation New American Schools 675 N. Washington Street, Suite 220 Alexandria, Virginia 22314 703.647.1628 -----Original Message----- From: Fohr, Marc [AM] [mailto:[EMAIL PROTECTED] Sent: Thursday, July 10, 2003 10:17 AM To: [EMAIL PROTECTED] Subject: [R] Maximum Likelihood Estimation and Optimisation Hello, I want to calculate a maximum likelihood funktion in R in order to solve for the parameters of an estimator. Is there an easy way to do this in R? How do I get the parameters and the value of the maximum likelihood funktion. More, I want to specify the algorithm of the optimisation above: BHHH (Berndt Hall Hall Hausman). Is this possible? Thanks a lot for your help and best regards Marc ---------------------------------------------------------------------------- - Marc Fohr, CFA Equity Portfolio Manager First Private Investment Management Neue Mainzer Strasse 75 D-60311 Frankfurt/Main Phone: ++49 - 69 - 2607 5424 Fax: ++49 - 69 - 2607 5440 Email: [EMAIL PROTECTED] ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
