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Topic: Maximum Likelihood Estimation with of VAR with fminsearch
Replies: 1   Last Post: Mar 7, 2013 2:50 PM

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Matt J

Posts: 4,994
Registered: 11/28/09
Re: Maximum Likelihood Estimation with of VAR with fminsearch
Posted: Mar 7, 2013 2:50 PM
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"Kyriacos " <kyriacos.lambrias@gmail.com> wrote in message <khab94$8pb$1@newscl01ah.mathworks.com>...
> Hi everyone,
>
> I am trying to create a code that does ML estimation of a Vector Autoregression System (VAR) of two variables with one lag. My idea is to use "fminsearch" in order to minimise the -1*(log-likelihood). However, I am doing a mistake and I do not see where. In particular, the algorythm seems to get stuck close to the initial conditions, whichever those are. The log-likelihood function is:

===============

Your likelihood function code contains random quantities in it. It should not. FMINSEARCH (and maximum likelihood theory as well) assumes that your function will be the same function of x every time it gets evaluated.



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