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problem with bfgsmin


From: george brida
Subject: problem with bfgsmin
Date: Sat, 25 Jul 2009 02:16:29 +0200

Dear Michael Creel,
I have the following model to estimate:
y(t)=alpha' * x(t)+beta' *x(t) F(t)+epsilon(t);
where
x(t)=(1,y(t-1),....,y(t-p))' ;
F(t)=(exp(-lam_1*(y(t-1)-c_1))+exp(lam_2*(y(t-1)-c_2)))/(1+exp(-lam_1*(y(t-1)-c_1))+exp(lam_2*(y(t-1)-c_2)));where c_1<c_2;
alpha and beta are two (p+1) vectors of coefficients.
I would like to estimate the coefficients: lam_1,lam-2,c_1,c_2,alpha and beta in this model. I have written these programs and used the function bfgsmin as you advise me to use it.
I obtained the following message: invalid parameter list.
I can't find the problem and I attached the programs. Can you please help me. Many thanks in advance.
George.

Attachment: bs.m
Description: Binary data

Attachment: minresid.m
Description: Binary data


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