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Hi All, I'm currently writing a dissertation on the modelling of the short-term interest rate, using one-factor continuous-time models. I have a paper whereby the function is estimated using a non-linear AR model, consisting of two parts- a drift function and a diffusion function, such as: alpha0+alpha1x+beta0+beta1x where x represents the rate of interest, the alpha part comprises the drift and beta the diffusion. I am trying to estimate the parameters alpha0-beta1 by maximum likelihood estimation using the quasi mle theta; I'm currently in the process of using the optim command in R to do this; however I now appear to have been working on this for a while now with minimal luck. Can anyone advise me on a good way to go about this? Its starting to drive me mad!! Thanks, Nick _________________________________________________________________ Windows Live™ Messenger has arrived. Click here to download it for free! http://imagine-msn.com/messenger/launch80/?locale=en-gb