Assignment3 - take account of the censoring 4 Write a program for the first and second derivatives of the log likelihood Check the program by

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Problem set, Econ 513 1 Problem Set 3 Due: Wednesday November 2 Use again the data in the ascii file DURATION.DAT. We will consider the exponential model, using only one of the covariates, namely years of education, denoted by x . ONLY USE THE FIRST 50 OBSERVATIONS. We use the hazard h ( y | x ) = exp( β 0 + β 1 · x ) . 1. Report descriptive statistics for this data set. What is the fraction of durations that are censored? 2. Compute the MLE of β 0 if β 1 = 0. Do this with and without accounting for censored observations. Note that the MLE have closed form solutions in this case. 3. Show that the log likelihood function at β 0 = β 1 = 0 is equal to 16839. Remember to
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: take account of the censoring. 4. Write a program for the first and second derivatives of the log likelihood. Check the program by comparing analytical and numerical derivatives. 5. Maximize the log likelihood function using the Newton-Raphson algorithm with ana-lytic derivatives. Use zeros as starting values. Also use the MLE for β obtained above and β 1 = 0. 6. Compute the standard errors of the MLE. 7. Use another algorithm, e.g. DFP, to compute the MLE using the same starting values as above. Compare the results....
View Full Document

This note was uploaded on 07/22/2008 for the course ECON 513 taught by Professor Rashidian during the Fall '07 term at USC.

Ask a homework question - tutors are online