Dear all,
we are computing maximum likelihood estimations using maxLik package
and we realized that the results of the estimation depend on the
version of the package installed
for example if we try to estimate this function with an old version of
maxLik under R 2.13.1 (32 bit version installed 2 years ago):
L<-function (param) {b0t<-param[1]
p1t<-param[2]
p2t<-param[3]
p3t<-param[4]
p4t<-param[5]
for(i in 17:T) {n[i,]<- b0t + p1t*a[i-1] + p2t*sum(a[(i-4):(i-1)]) +
p3t*(sum(a[(i-8):(i-1)])) + p4t*(sum(a[(i-16):(i-1)]))
m[i,]<-exp(n[i])/(1+exp(n[i]))
ll[i-16,]<-a[i]*log(m[i])+(1-a[i])*log(1-m[i]) }
sum(ll)}
b2<-maxLik(L, start=c(-2.8158,5,-1,0.3213,-0.3112))
we obtain this results:
summary(b2)
Maximum Likelihood estimation
Newton-Raphson maximisation, 16 iterations
Return code 2: successive function values within tolerance limit
Log-Likelihood: -38.11285
5 free parameters
Estimates:
Estimate Std. error t value Pr(> t)
[1,] -2.81578 0.43548 -6.4660 1.007e-10 ***
[2,] 50.50024 13.17046 3.8344 0.0001259 ***
[3,] -11.53344 3.31075 -3.4836 0.0004947 ***
[4,] 0.32130 0.42978 0.7476 0.4547096
[5,] -0.31121 0.23245 -1.3388 0.1806280
---
Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
--------------------------------------------
NB: a is a binary time series
if we try to estimate the same function using the last version of
maxLik under R.3.0 (64 bit latest version) the estimation do not
converge and this is the error message:
Iteration 15
Parameter:
[1] -2.8146429 51.3042554 -11.7373313 0.3245214 -0.3125767
Gradient:
[1] NaN NaN NaN NaN NaN
Errore in maxNRCompute(fn = logLikAttr, fnOrig = fn, gradOrig = grad,
hessOrig = hess, :
NA in gradient
What causes this?
Thanks
Alfonso
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