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RE: Iterated FGNLS for nlsystemfit [ reply ]
By: Arne Henningsen on 2018-11-17 12:25
[forum:46425]
The FAQ of the systemfit package say: "Can the systemfit package estimate a system of non-linear equations? The systemfit package provides the function nlsystemfit, which can estimate systems of non-linear equations. However, while the code for estimating systems of linear equations (function systemfit) has been very mature and reliable for many years, the estimation of systems of non-linear equations (function nlsystemfit) is still under development and often has convergence problems. Therefore, we cannot recommend using function nlsystemfit for serious applications." nlsystemfit() has been developed by my co-author Jeff Hamann. Perhaps, you can contact him directly regarding questions about nlsystemfit().

Iterated FGNLS for nlsystemfit [ reply ]
By: Stefan Boeters on 2018-10-31 12:54
[forum:46394]
According to the systemfit manual, it is possible in the systemfit function to switch to iterated FGLS:

"... iterated estimation methods can be specified by setting control parameter maxiter larger than 1 (e.g. 500)." (p. 43 of systemfit.pdf)

However, this does not seem to be possible for nlsystemfit. Have I overlooked something? Would it be possible to add this feature? Has someone extended the function to make iterative FGNLS possible?

(For those familiar with Stata: There you have the options "fgnls" and "ifgnls" for the nlsur command.)

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