Econometrics

Download Econometrics In R by Farnsworth Grant V. PDF

By Farnsworth Grant V.

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For example, to solve θˆ = argmaxθ mi ≤1 f (θ) we would use > thetahat<-constrOptim(c(0,0,0,0,0),-f,NULL,ui=-m,ci=-1)$par The first argument is the starting value (θ has five parameters), the function is multiplied by −1 since we are maximizing. The next argument should be a function giving the gradient of f . If we do not have such a function, we must insert NULL so that a non-gradient method optimization method is used. 3 Numerical Integration We can use the function integrate() from the stats package to do unidimensional integration of a known function.

Real numbers (or vectors) are passed as type double*, integers and boolean as type int*, and strings as type char**. If inputs to the function are vectors, their length should be passed manually. Also note that objects such as matrices and arrays are just vectors with associated dimension attributes. When passed to C, only the vector is passed, so the dimensions should be passed manually and the matrix recreated in C if necessary. Here is an example of a C file to compute the dot product of two vectors void gdot(double *x,double *y,int *n,double *output){ int i; *output=0; for (i=0;i<*n;i++){ *output+=x[i]*y[i]; } } No header files need to be included unless more advanced functionality is required, such as passing complex numbers (which are passed as a particular C structure).

These logical operators compare the entire object before and after them. For example, two vectors that differ in only one place will return FALSE under the && operator. For elementwise comparisons, use the single & and | operators. 3 Maximum Likelihood Estimation Now we consider code to find the likelihood estimator of the coefficients in a nonlinear model. Let us assume a normal distribution on the additive errors y = aLb K c + (15) Notice that the best way to solve this problem is a nonlinear least squares regression using nls().

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