matlab - Does R support switching between optimizers like STATA does? -


i need implement model show here:

http://www.ssc.upenn.edu/~fdiebold/papers/paper55/drafinal.pdf

the model estimation step on p.315 notes that:

"we maximize likelihood iterating marquart , berndt–hall–hall–hausman algorithms, using numerical derivatives, optimal stepsize, , convergence criterion of 10^-6 change in norm of parameter vector 1 iteration next."

now know stata supports switching between optimizers,

http://www.stata.com/manuals13/rmaximize.pdf

see bottom of p2.

is there r package or matlab function/s can same thing?

specifically need able switch between bhhh , levenberg-marquardt.

kind regards

baz

for r, check out cran task view on optimization. searching page, looks bhhh , marquardt available in separate packages (minpack.lm , maxlik, respectively). write own code handle switching between them.


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