[R] nls

From: <ekhous_at_po-box.mcgill.ca>
Date: Wed 20 Jul 2005 - 11:57:08 EST


Dear R-helpers,

I am trying to estimate a model that I am proposing, which consists of putting an extra hidden layer in the Markov switching models. In the simplest case the S(t) - Markov states - and w(t) - the extra hidden variables - are independent, and w(t) is constant. Formally the model looks like this: y(t)=c(1,y[t-1])%*%beta0*w+c(1,y[t-1])%*%beta1*(1-w). So I ran some simulations to obtain the y's, and I am putting it into the nls:

res<-nls(y~(a+b*x)*w+(c+d*x)*(1-w),start=list(a=1,b=0.3,c=-1,d=-0.2,w=0.5))

and the starting parameter values are similar to the ones I used for simulations, however I am getting

Error in nlsModel(formula, mf, start) : singular gradient matrix at initial parameter estimates

What am I doing wrong? I tried many different parameter values to no avail. Thank you so much in advance,
Sincerely,

Eugene
McGill University



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