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Time Series MT 2.1
OPTIMIZATION WITH OPTMUM
I need to maximize a function f(θ), where θ is kx1 vector and θ =0 always.
Does anyone knows how can I set this on OPTMUM PROC in order to obtain the θ_bar=argmaxf(θ) for the rest values of θ by keeping θ = 0.?
Thank you in advance,
Maxlik has a global variable, _max_Active, where one specifies which parameters are active and which are fixed to their start value. Maxlikmt, CML, and CMLT, CO, and COMT can all do that, but Optmum can’t.
Why not maximize a function where the first parameter is set to a local variable in the procedure which is set to zero? And then pass to Optmum a k-1 x 1 vector of starting values, i.e., one that doesn’t include the parameter to be fixed to zero?
Thank you, for your help!!!