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Sourcecode: octave-econometrics version File versions  Download package

nls_example.m

## Copyright (C) 2006  Michael Creel <michael.creel@uab.es>
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2 of the License, or
## (at your option) any later version.
##
## This program is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program; If not, see <http://www.gnu.org/licenses/>.

## Example to show how to use NLS

# Generate data
n = 100; # how many observations?

# the explanatory variables: note that they have unequal scales
x = ;
theta = 1:3; # true coefficients are 1,2,3
theta = theta';

lambda = exp(x*theta);
y = randp(lambda); # generate the dependent variable

# example objective function for nls
function [obj_contrib, score] = nls_example_obj(theta, data, otherargs)
      y = data(:,1);
      x = data(:,2:columns(data));
      lambda = exp(x*theta);
      errors =  y - lambda;
      obj_contrib = errors .* errors;
      score = "na";
endfunction


#####################################
# define arguments for nls_estimate #
#####################################
# starting values
theta = zeros(3,1);
# data
data = [y, x];
# name of model to estimate
model = "nls_example_obj";
modelargs = {}; # none required for this obj fn.
# controls for bfgsmin - limit to 50 iters, and print final results
control = {50,1};

####################################
# do the estimation              #
####################################
printf("\nNLS estimation example\n");
[theta, obj_value, convergence] = nls_estimate(theta, data, model, modelargs, control);

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