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st: Re: LLF for linear regression


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: LLF for linear regression
Date   Thu, 24 Jul 2003 09:34:01 -0400

On Thursday, Jul 24, 2003, at 02:33 US/Eastern, Chuntao wrote:

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?
Google returns

www.economics.unimelb.edu.au/subject_pages/ 2003/semester1/316-470/2regression.pdf

Take a look at the expression for loglikelihood, recalling that sigma is one of the parameters to be estimated in the regression problem.

Kit

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