nLLikelihoodDE: Negative log likelihood of market in disequilibrium model

In Disequilibrium: Disequilibrium Models

Description

A wrapper function that makes the output of LLikelihoodDE negative. See ?LLikelihoodDE for details.

Usage

nLLikelihoodDE(...)

Arguments

...	arguements to be passed to LLikelhoodDE

Examples

set.seed(1775)
library(MASS)
beta01 = c(1,1)
beta02 = c(-1,-1)
N = 10000
SigmaEps = diag(2)
SigmaX = diag(2)
MuX = c(0,0)
par0 = c(beta01, beta02, SigmaX[1, 1], SigmaX[1, 2], SigmaX[2, 2])

Xgen = mvrnorm(N,MuX,SigmaX)
X1 = cbind(1,Xgen[,1])
X2 = cbind(1,Xgen[,2])
X = list(X1 = X1,X2 = X2)
eps = mvrnorm(N,c(0,0),SigmaEps)
eps1 = eps[,1]
eps2 = eps[,2]
Y1 = X1 %*% beta01 + eps1
Y2 = X2 %*% beta02 + eps2
Y = pmin(Y1,Y2)

p1 = 2
p2 = 2
theta = c(beta01, beta02, log(SigmaX[1, 1]), atanh(SigmaX[1, 2]), log(SigmaX[2, 2]))

lhood = nLLikelihoodDE(theta, Y, X, summed = TRUE)
head(nLLikelihoodDE)

Disequilibrium documentation built on July 2, 2020, 3:27 a.m.