Date:         Thu, 4 Jul 2002 17:13:27 -0400
Reply-To:     jimmy chan <jimmy.chan@HEC.CA>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         jimmy chan <jimmy.chan@HEC.CA>
Subject:      Initial values for max. likelihood function
Content-Type: text/plain; charset=us-ascii

Hello,

As we know, for maximizing a likelihood function, we have to initialize
the parameters values. Before the runing the likelihood function, I
have run an ols to find these values and save it in file. My question
is : how can I intialize the parameters given that I have to estimate
the paremeters for each year and each stock.

What I have done before is something like this...

proc nlmixed dataset;
parms alpha1 = 0.5, alpha2 = 0.5, beta = 0.5 sigma = 1;
...
by stock year;
run;

I want to replace the assigned values by some values (calculated by
ols) saved in another file, ACCORDING TO THE TICKER AND YEAR.

Thanks.

Jim