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st: Likelihood Function


From   "Lee Chuntao" <chtl@econ.hku.hk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Likelihood Function
Date   Thu, 24 Jul 2003 13:12:48 +0800

Dear Listers,

     In page 29 of  Maximum Likelihood Estimation with Stata (Gould and
Sribney 1999), the likelihood function for the linear regression model is
written as:

                   lnL=SUM (ln (phi((y-x*beta)/sigma)) - ln(sigma))
where phi() is the standard normal PDF.

My Question is: How the last term, ln(sigma), comes to the likelihood
function?


Can you knidly give me some ideas?


thanks in advance


Chuntao

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