Richard,
Thank you for your valuable suggestions and information.
>Incorrect assumption, alas! I suggest looking at Stata's Maximum
>Likelihood book:
>
>http://www.stata.com/bookstore/mle.html
>
>The OLS model is trickier than you might think, because you also have to
>estimate sigma. Their programs are all online, so you can easily see what
>they did (see, for example, -mynormal0.ado and -mynormal_lf.ado).
Hmm, I see ...
After all, my codes are still defective:-).
But, thanks to your suggestions, now I understand what to learn
further.
I'll check out the codes included in the compressed file soon.
K.I.
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