I defined my own function named "loglik" to compute loglikelihood of State Space Model, and then call optimization subroutine "nlpdd()" to maximize my target function "loglik". The IML codes are following
proc iml;
m_p=0.002;sp=0.02;/*pars in the measurement eq.1*/
m_v1=0.05;m_v2=0.028;sv=0.04;/*pars in the measurement eq.2*/
beta=0.95;sq=0.03;a=0.85;/*pars in Transition*/
n=150;/*length of time series */
/*simulating state model*/
l=j(n+50,1,0);r=l;
do i=2 to nrow(l);
l[i]=0.85*l[i-1]+rannor(3432);
r[i]=0.95*r[i-1]+0.03*rannor(45345);
end;
l=l[51:n+50];r=r[51:n+50];I=exp(r);
/*generate observation Y=(Dp,V)*/
Dp=0.002*I+0.02*sqrt(I)#randfun(n,"norm");
v=0.05*I+0.028*L+0.04*sqrt(I)#randfun(n,"norm");
/*estimate the model using EKF */
/*build the loglik function for linearized DP SSM */
start loglik(mp,sp,beta,sq) global(dp,n);/*'m' stand for 'mean' and 's' for 'sigma'*/
alp_f=j(n,1,0);sig_f=j(n,1,0);
v=j(n,1,0);F=j(n,1,0);
alp_f[1]=0;sig_f[1]=sq/(1-beta);
v[1]=dp[1]-mp*exp(alp_f[1]);
do i=2 to n;
F[i-1]=exp(2*alp_f[i-1])*sig_f[i-1]+sp##2*exp(alp_f[i-1]);
K=beta*sig_f[i-1]*exp(alp_f[i-1])/F[i-1];
L=beta-K*exp(alp_f[i-1]);
sig_f[i]=beta*sig_f[i-1]*L+sq**2;
alp_f[i]=beta*alp_f[i-1]+K*v[i-1];
v[i]=dp[i]-mp*exp(alp_f[i]);
end;
F[n]=exp(2*alp_f[n])*sig_f[n]+sp##2*exp(alp_f[n]);
loglik=-0.5*sum(log(F)+v##2/F);
return(loglik);
finish;
x0={0.1 0.1 0.1 0.1};
call nlpdd(xr,xc,"loglik",x0);
Run the code, error message pops up in Log window as following.
ERROR: Too many arguments for function LOGLIK.
ERROR: NLPDD call: Error in argument module FUN.
ERROR: (execution) Unknown or error operation executed.
operation : NLPDD at line 1009 column 1
operands : *LIT1067, x0
*LIT1067 1 row 1 col (character, size 6)
loglik
x0 1 row 4 cols (numeric)
0.1 0.1 0.1 0.1
statement : CALL at line 1009 column 1
Pleas tell me how to correct the error.
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