[R] recommended reading for manual maximum likelihood of a system of equations

[Alex Olssen]

Hi everyone,

I am looking for some recommended reading.

I want to read up on the estimation systems of linear equations using
maximum likelihood?
I have a strongly applied bias, I want to be able to do such estimation myself.
Reading with examples would be great.
Something which also works through a concentrated maximum likelihood
estimation would be even better!

I want to use a likelihood ratio test to compare some nested models of
linear simultaneous equations.
I have estimated the systems using   systemfit()   and
nlsystemfit().  systemfit()   can be used with   lrtest()   which
automatically obtains the log-likelihood values.
Unfortunately one of my models requires nonlinear coefficient
restrictions and   lrtest()   does not seem to be usable with
nlsystemfit().

I decided it would be a good idea to program the likelihood estimation myself.
This would solve the problem and would also be a great learning experience.

All suggestions will be highly appreciated!

Thanks a lot,

Alex Olssen
Motu Economic and Public Policy Research
Wellington
New Zealand