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Re: st: RE: Log Likelihood for Linear Regression Models


From   leechtcn <[email protected]>
To   [email protected]
Subject   Re: st: RE: Log Likelihood for Linear Regression Models
Date   Thu, 30 Oct 2003 06:30:36 -0800 (PST)

Dear Al FEiveson,

   Thanks for your conments, but i am still lost. Can
you give me some references? I can just find No. 2 in
some textbooks!

thanks again

Leecht


--- "FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)"
<[email protected]> wrote:
> Leecht - 
> 
> NO. 1 is the true log likelihood. The second is ok
> to use for a "log
> likelihood" for purposes of maximimization with
> respect to beta since
> log(sigma) is just an additive constant. But when
> estimating beta AND
> sigma,you need the other term.
> 
> Al FEiveson
> 
> -----Original Message-----
> From: leechtcn [mailto:[email protected]]
> Sent: Thursday, October 30, 2003 5:43 AM
> To: [email protected]
> Subject: st: Log Likelihood for Linear Regression
> Models
> 
> 
> Dear Listers,
> 
> I have asked this question before. I am posting it a
> second time in case you guys have not received it.
> 
> I am sorry for the all convinence caused!
> 
> I have a question concerning William Gould and
> William
> Sribney's "MAximium Likelihood Estimation" (1st
> edition):
> 
> 
> In its 29th page, the author write the the following
> lines:
> 
>    For instance, most people would write the log
> likelihood for the linear regression model as:
> 
>   LnL =
> SUM(Ln(Normden((yi-xi*beta)/sigma)))-ln(sigma)
> (1)
> 
> But in most econometrics textbooks, such as William
> Green, the log likelihood for a linear regression is
> only:
> 
>   LnL = SUM(Ln(Normden((yi-xi*beta)/sigma)))        
>  
> (2)
> 
> 
> that is, the last item is dropped
> 
> I have also tried to use (2) in stata, it will give
> "no concave" error message. In my Monte Carlo
> experiments, (1) always gives reasonable results.
> 
> Can somebody tell me why there is a difference
> between
> stata's log likelihood and those of the other
> textbooks?
> 
> thanks a lot
> 
> Leecht
> 
> 
> 
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