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Re: st: Maximum likelihood estimation


From   William Buchanan <william@williambuchanan.net>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Maximum likelihood estimation
Date   Wed, 13 Feb 2013 13:51:47 -0800

Maybe you should try using a subject line that is more informative next time.  You may also want to check out the Statalist FAQ again regarding Reposting and how to ask questions that are likely to yield responses. 

HTH,
Billy

Sent from my iPhone

On Feb 13, 2013, at 13:27, Joseph Monte <hmjc66@gmail.com> wrote:

> 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
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