I have used the following code to obtain a max likelihood estimator for
a logit regression. The final command invokes optim to obtain the
parameter estimates. The code works OK but I want to use the mle
function in the stats4 package instead of directly calling optim.
Can someone please figure out the command to do this?
Thank you in advance.
Martin
# mlelo.r - maximum likelihood estimation for logit regression
# log-likelihood function (returns negative to minimise)
log.lo.like <- function(beta,Y,X) {
Fbetax <- 1/(1+exp(-beta%*%t(X)))
loglbeta <- -log(prod(Fbetax^Y*(1-Fbetax)^(1-Y)))
}
# data
Y <- c(0,0,1,0,0,1,1,0,0,0,0,1,1,0,1,1,0,1,1,0,1)
X <-
cbind(matrix(1,21,1),matrix(c(-48.5,24.4,82.8,-24.6,-31.6,91.0,52.1,-87.
7,
-17.0,-51.5,-90.7,65.5,-44.0,-7.0,51.6,32.4,-61.8,34.0,27.9,-72.9,49.9),
21,1))
# maximum likelihood estimator
mle.res <- optim(c(0,0),log.lo.like,Y=Y, X=X)
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