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From |
Joseph Monte <hmjc66@gmail.com> |

To |
statalist <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Maximum likelihood estimation |

Date |
Wed, 13 Feb 2013 21:27:55 +0000 |

Dear Statalisters, I'll try again with a little more info since I did not get any responses. Here is the code I have so far (based on previous Statalist posts and "Maximum Likelihood estimation with Stata" by Gould, Pitbaldo and Poi, 4th ed.). The paper I cited in my first email below models the log of the variance of the regression error in equation 2 while I believe I have modelled the log of sigma. I would preferably like to model the log of the variance as in the paper cited but am not sure how. cscript program mynormal_lf1 version 12 args todo b lnfj g1 g2 tempvar mu lnsigma sigma mleval `mu' = `b', eq(1) mleval `lnsigma' = `b', eq(2) quietly { gen double `sigma' = exp(`lnsigma') replace `lnfj' = ln(normalden($ML_y1,`mu',`sigma')) if (`todo'==0) exit tempvar z tempname dmu dlnsigma gen double `z' = ($ML_y1-`mu')/`sigma' replace `g1' = `z'/`sigma' replace `g2' = `z'*`z'-1 } end ml model lf1 mynormal_lf1 (mu: y = x1 x2 x3 x4 x5 x6 x7 x8 x9) (lnsigma: y = x1 x2 x3 x4 x5 x6 x7 x8 x9) ml max Thanks, Joe On Tue, Feb 12, 2013 at 9:54 AM, Joseph Monte <hmjc66@gmail.com> wrote: > Dear Statalisters, > > I need to do a maximum likelihood estimation very similar to that in > equations (1) and (2) on page 439 of Lowry et al. (2010). Note that > equation 2 has the same independent variables as equation 1. I would > appreciate it if someone would let me know the code I need to use with > the help of an example. I use Stata 12. > > References > > Lowry, M., Officer, M.S., Schwert, G.W., 2010. The variability of IPO > initial returns. The Journal of Finance 65, 425-465 > > > Thanks, > > Joe > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Maximum likelihood estimation***From:*"Brian P. Poi" <bpoi@stata.com>

**Re: st: Maximum likelihood estimation***From:*William Buchanan <william@williambuchanan.net>

**References**:**st: Maximum likelihood estimation***From:*Joseph Monte <hmjc66@gmail.com>

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