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From: kvasikonkav on 12 Jul 2010 10:50
On Jul 10, 1:38 pm, CC <chchanghe...(a)gmail.com> wrote:
> Hi dear all,
>
> I am looking for any function I can use to solve the following
> equation:
>
> Mi,t – Bi,t – (ROEi,t+1 – Ri)*Bi,t/(1+Ri) - (ROEi,t+2 – Ri)*Bi,t+1/
> (1+Ri)^2  - (ROEi,t+3 – Ri)*Bi,t+2/(1+Ri)^3 = 0
>
> I have all values except Ri which is the value I want to find to make
> this equation = 0.  i refers to firm i and t refers to year t.  So, I
> need to find Ri for each firm/year.   I have a dataset contains all
> other variables.  But not sure if there is any function that I can use
> to solve this problem.  I check the proc nlp but I guess it is for max
> or min not to solve the value = 0.   Please let me know if there's any
> way I can do it.  Thanks in advance!
>
> HH

Two thoughts (both may be way off base, but it's the best I can think
of). Sounds like you have a procedure that can find min or max. If so,

1) minimize [0-(Mi,t – Bi,t – (ROEi,t+1 – Ri)*Bi,t/(1+Ri) - (ROEi,t+2
– Ri)*Bi,t+1/(1+Ri)^2  - (ROEi,t+3 – Ri)*Bi,t+2/(1+Ri)^3]^2

or

2) try taking first order conditions (first derivative wrt Ri) and
second order conditions. If you minimize FOC, you are at a local min
or max. Used SOC to see if solution from FOC are global. You already
know this since you know econ & finance.

HTH
-
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