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st: Question about ML


From   Cameron Hooper <chooper@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Question about ML
Date   Mon, 2 May 2005 13:23:54 -0400

Hi

I have a question about using the -ml- command. I've had a look at the reference manual, but it's a bit over my head. I've seen the book about ML available from Stata, but I thought someone on this list might be able to help me out.

I have the following log likelihood function:

lfn = log( exp(-2*e*T) * ( (1-a) * e^(B+S) + a*d*exp(-u*T) * (e^B) * (u+e)^s +
a * (1-d) * exp(-u*T) * (u+e)^B * (u+e)^B * e^S ) )

The unknown parameters are {e,a,d,u). The dataset contains 59 observations of B and S (daily buys and sells on the NYSE). T is a constant.

Here are the first 10 lines of the dataset:

. use http://www-personal.umich.edu/~chooper/stata/adm
. list in 1/10

+-----------------------------------------------+
| ticker permno date day B S |
|-----------------------------------------------|
1. | ADM 10516 01 Oct 90 190 158 112 |
2. | ADM 10516 02 Oct 90 191 190 201 |
3. | ADM 10516 03 Oct 90 192 127 133 |
4. | ADM 10516 04 Oct 90 193 163 102 |
5. | ADM 10516 05 Oct 90 194 158 116 |
|-----------------------------------------------|
6. | ADM 10516 08 Oct 90 195 98 72 |
7. | ADM 10516 09 Oct 90 196 93 108 |
8. | ADM 10516 10 Oct 90 197 95 128 |
9. | ADM 10516 11 Oct 90 198 132 142 |
10. | ADM 10516 12 Oct 90 199 138 78 |
+-----------------------------------------------+

Any suggestions greatly appreciated.

Cameron

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