[求助] 用Optim优化函数的问题！

liuxiaofengas

3147

收藏 2008-09-23

各位高手帮帮小弟吧！

我现在用GMM估计一个函数。但是，用optim得到的结果总是不稳定。当初始值改变的时候，估计的结果也会发生改变。请问哪位大虾能帮我想象办法啊？

多谢多谢！

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DM小菜鸟

2015-1-22 22:01:47

你用gmm()函数的吧？
gmm(g,x,t0=NULL,gradv=NULL, type=c("twoStep","cue","iterative"),
wmatrix = c("optimal","ident"), vcov=c("HAC","iid","TrueFixed"),
kernel=c("Quadratic Spectral","Truncated", "Bartlett", "Parzen", "Tukey-Hanning"),
crit=10e-7,bw = bwAndrews, prewhite = FALSE, ar.method = "ols", approx="AR(1)",
tol = 1e-7, itermax=100,optfct=c("optim","optimize","nlminb", "constrOptim"),
model=TRUE, X=FALSE, Y=FALSE, TypeGmm = "baseGmm", centeredVcov = TRUE,
weightsMatrix = NULL, traceIter = FALSE, data, eqConst = NULL,
eqConstFullVcov = FALSE, ...)

Only when the dimension of is 1, you can choose between the algorithm optim or optimize. In that case, the former is unreliable. If optimize is chosen,"t0" must be 1 2 which represents the interval in which the algorithm seeks the solution. It is also possible to choose the nlminb algorithm. In that case, boundaries for the coefﬁcients can be set by the options upper= and lower=.
The constrOptim is only available for nonlinear models for now. The standard errors may have to be corrected if the estimtes reach the boundary set by ui and ci

所以你看你的条件是不是满足，或者换成optimize试一试

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