MLE as parameterized for numerical optimization
Coefficients:
1.1635158 -0.35881272 0.013487767 -0.057518295 -0.24698394 -0.21292052 0.76900394 3.0701620 1.7538953
Value of log likelihood: -60.882447
Gradient vector:
-0.00013736983 3.4778682e-006 1.6442400e-005 0.00024314148 -7.9539357e-005 5.4949616e-005 -0.00039239950 1.6098331e-005 -1.8397745e-005
Vector is reparameterized to report final results as follows
Means for each state:
1.1635158 -0.35881272
Autoregressive coefficients:
0.013487767 -0.057518295 -0.24698394 -0.21292052
Variances:
0.59136706
Matrix of Markov transition probabilities:
0.90408497 0.24532961
0.095915032 0.75467039
Ergodic probs for full state vector:
0.48030944 0.050956378 0.013827360 0.042535017 0.013827360 0.0014669547 0.011542166 0.035505421 0.013827360 0.0014669547 0.00039806814 0.0012245168 0.011542166 0.0012245168 0.0096346378 0.029637580 0.050956378 0.0054059992 0.0014669547 0.0045125709 0.0014669547 0.00015563029 0.0012245168 0.0037667960 0.042535017 0.0045125709 0.0012245168 0.0037667960 0.035505421 0.0037667960 0.029637580 0.091169605
Ergodic probs for primitive states:
0.71892590 0.28107410
Log likelihood:
-60.882447
for vector of coefficients parameterized as follows,
1.1635158 -0.35881272 0.013487767 -0.057518295 -0.24698394 -0.21292052 0.59136706 0.90408497 0.75467039
the standard errors are
0.074526270 0.26548978 0.12202021 0.13888002 0.10717474 0.11089328 0.10299274 0.037742406 0.096527744
-------------------------------
Probabilities for primitive states
filtered probabilities
Obs P(st-0 =1 ) P(st-1 =1 ) P(st-2 =1 ) P(st-3 =1 ) P(st-4 =1 )
5.0000 0.7767 0.7552 0.7331 0.7084 0.6971
6.0000 0.9492 0.8988 0.8439 0.7964 0.7329
7.0000 0.9963 0.9859 0.9479 0.9352 0.8871
8.0000 0.9903 0.9988 0.9892 0.9639 0.9513
9.0000 0.9401 0.9931 0.9988 0.9871 0.9571
10.0000 0.5374 0.8365 0.9853 0.9978 0.9815
11.0000 0.1400 0.2231 0.7325 0.9780 0.9980
12.0000 0.0089 0.0194 0.1067 0.5846 0.9617
13.0000 0.0485 0.0029 0.0147 0.0860 0.5715
14.0000 0.6141 0.1007 0.0047 0.0208 0.1042
15.0000 0.9109 0.7931 0.1266 0.0047 0.0167
16.0000 0.9955 0.9748 0.8578 0.1806 0.0067
17.0000 0.9795 0.9981 0.9776 0.8667 0.1676
18.0000 0.9923 0.9930 0.9988 0.9879 0.8975
19.0000 0.9846 0.9970 0.9938 0.9991 0.9890
20.0000 0.7510 0.9694 0.9958 0.9902 0.9985
21.0000 0.7763 0.7743 0.9731 0.9957 0.9879
22.0000 0.5220 0.6301 0.6740 0.9631 0.9943
23.0000 0.8150 0.6719 0.7330 0.7401 0.9648