Conduct maximum likelihood estimation of preferences given choices to an experimental instrument.
You can not select more than 25 topics Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
This repo is archived. You can view files and clone it, but cannot push or open issues/pull-requests.
Brian Albert Monroe 856487783a
nonpar: Add regex option to grab unique outcomes
2 years ago
R nonpar: Add regex option to grab unique outcomes 2 years ago
man feat: Add Delta Method functions 2 years ago
.Rbuildignore First commit - MSL changed to rcmle, MSL stuff dropped 4 years ago
.gitignore First commit - MSL changed to rcmle, MSL stuff dropped 4 years ago
DESCRIPTION nonpar: Add regex option to grab unique outcomes 2 years ago
NAMESPACE feat: Add Delta Method functions 2 years ago
README.md feat: Add Delta Method functions 2 years ago
readme.html feat: Add Delta Method functions 2 years ago

README.md

Maximum Likelihood Estimation for Choice Under Risk

This package provides functions to directly estimate risk and time preferences, a generic function to do any maximum likelihood estimate, and delta method function to do non-linear wald tests.

The risk and time preference estimation functions were the initial purpose of this package and may either be expanded or cut off into a new package in the future.

The generic "top_llfun" function to do maximum likelihood estimation allows for clustering of standard errors and parameters to be made linear functions of observable covariates.

The delta methods were derived because the nlWaldtest package didn't allow for arbitrary functional transformations of parameters. The delta methods are provided here because they are most useful when combined with the results from the top_llfun, but can be used for any set of estimates and covariance matrix.

Goals

  • Allow for parameters to be made linear functions of observable covariates.
  • Create generic function to use in other packages so work isn't duplicated elsewhere.
  • Create API to allow users to add any optimizer
    • Progress has been made here, but not finished
  • Create API to allow users to provide arbitrary parameter transformations.
    • New delta methods provide a piece of this goal.

Optimizer Methods to Implement

  • optimx
  • maxLik
  • nloptr
  • mopt
  • Rcgmin
  • Rvmmin
  • dfoptim
  • DEoptim