From: Alex Olssen <alex.olssen_at_gmail.com>

Date: Sat, 07 May 2011 00:29:42 +1200

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. Received on Fri 06 May 2011 - 12:32:04 GMT

Date: Sat, 07 May 2011 00:29:42 +1200

Dear R-help,

I am trying to reproduce some results presented in a paper by Anderson and Blundell in 1982 in Econometrica using R. The estimation I want to reproduce concerns maximum likelihood estimation of a singular equation system. I can estimate the static model successfully in Stata but for the dynamic models I have difficulty getting convergence. My R program which uses the same likelihood function as in Stata has convergence properties even for the static case.

I have copied my R program and the data below. I realise the code could be made more elegant - but it is short enough.

Any ideas would be highly appreciated.

## model 18

lnl <- function(theta,y1, y2, x1, x2, x3) {
n <- length(y1)

beta <- theta[1:8]

e1 <- y1 - theta[1] - theta[2]*x1 - theta[3]*x2 - theta[4]*x3
e2 <- y2 - theta[5] - theta[6]*x1 - theta[7]*x2 - theta[8]*x3
e <- cbind(e1, e2)

sigma <- t(e)%*%e

logl <- -1*n/2*(2*(1+log(2*pi)) + log(det(sigma)))
return(-logl)

}

p <- optim(0*c(1:8), lnl, method="BFGS", hessian=TRUE, y1=y1, y2=y2,
x1=x1, x2=x2, x3=x3)

"year","y1","y2","x1","x2","x3"

1929,0.554779,0.266051,9.87415,8.60371,3.75673 1930,0.516336,0.297473,9.68621,8.50492,3.80692 1931,0.508201,0.324199,9.4701,8.27596,3.80437 1932,0.500482,0.33958,9.24692,7.99221,3.76251 1933,0.501695,0.276974,9.35356,7.98968,3.69071 1934,0.591426,0.287008,9.42084,8.0362,3.63564 1935,0.565047,0.244096,9.53972,8.15803,3.59285 1936,0.605954,0.239187,9.6914,8.32009,3.56678 1937,0.620161,0.218232,9.76817,8.42001,3.57381 1938,0.592091,0.243161,9.51295,8.19771,3.6024 1939,0.613115,0.217042,9.68047,8.30987,3.58147 1940,0.632455,0.215269,9.78417,8.49624,3.57744 1941,0.663139,0.184409,10.0606,8.69868,3.6095 1942,0.698179,0.164348,10.2892,8.84523,3.66664 1943,0.70459,0.146865,10.4731,8.93024,3.65388 1944,0.694067,0.161722,10.4465,8.96044,3.62434 1945,0.674668,0.197231,10.279,8.82522,3.61489 1946,0.635916,0.204232,10.1536,8.77547,3.67562 1947,0.642855,0.187224,10.2053,8.77481,3.82632 1948,0.641063,0.186566,10.2227,8.83821,3.96038 1949,0.646317,0.203646,10.1127,8.82364,4.0447 1950,0.645476,0.187497,10.2067,8.84161,4.08128 1951,0.63803,0.197361,10.2773,8.9401,4.10951 1952,0.634626,0.209992,10.283,9.01603,4.1693 1953,0.631144,0.219287,10.3217,9.06317,4.21727 1954,0.593088,0.235335,10.2101,9.05664,4.2567 1955,0.60736,0.227035,10.272,9.07566,4.29193 1956,0.607204,0.246631,10.2743,9.12407,4.32252 1957,0.586994,0.256784,10.2396,9.1588,4.37792 1958,0.548281,0.271022,10.1248,9.14025,4.42641 1959,0.553401,0.261815,10.2012,9.1598,4.4346 1960,0.552105,0.275137,10.1846,9.19297,4.43173 1961,0.544133,0.280783,10.1479,9.19533,4.44407 1962,0.55382,0.281286,10.197,9.21544,4.45074 1963,0.549951,0.28303,10.2036,9.22841,4.46403 1964,0.547204,0.291287,10.2271,9.23954,4.48447 1965,0.55511,0.281313,10.2882,9.26531,4.52057 1966,0.558182,0.280151,10.353,9.31675,4.58156 1967,0.545735,0.294385,10.3351,9.35382,4.65983 1968,0.538964,0.294593,10.3525,9.38361,4.71804 1969,0.542764,0.299927,10.3676,9.40725,4.76329 1970,0.534595,0.315319,10.2968,9.39139,4.81136 1971,0.545591,0.315828,10.2592,9.34121,4.84082 ______________________________________________R-help_at_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. Received on Fri 06 May 2011 - 12:32:04 GMT

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