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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 - |