Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: How does STATA compute e(ll) ??


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How does STATA compute e(ll) ??
Date   Thu, 21 Feb 2013 15:56:36 +0100

No, -regress- does use OLS, but those coefficients are also the MLEs,
except for the rmse but that is a straightforward transformation. So
you can use the results from an OLS fit to get the MLE and the
corresponding likelihood, which is what -regress- does in order to
give you a little bit of extra information at no cost.

-- Maarten

On Thu, Feb 21, 2013 at 3:47 PM, Hsien-Yuan Hsu <hsuhy0914@gmail.com> wrote:
> Dear Dr. Cox,
>
> Thanks for your prompt reply.
> When I use commend "regress", I assume OLS regression is conducted.
> Why does STATA report "e(ll) log likelihood under additional
> assumption of i.i.d.  normal errors."? Does STATA automatically
> estimate parameter by using ML?
>
> Best,
> Mark
>
> On Thu, Feb 21, 2013 at 6:08 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>> In addition, there is a book-length treatment at
>>
>> http://www.stata.com/bookstore/maximum-likelihood-estimation-stata/index.html
>>
>> and Stata's machinery for computing (log) likelihood is documented
>> under heading such as -ml-.
>>
>> Nick
>>
>> On Thu, Feb 21, 2013 at 9:21 AM, Nick Cox <njcoxstata@gmail.com> wrote:
>>> e(ll) is what it says, the log likelihood. Any decent intermediate
>>> statistics text will explain.
>>>
>>> Nick
>>>
>>> On Thu, Feb 21, 2013 at 8:47 AM, Mark (Hsien-Yuan Hsu)
>>> <hsuhy0914@gmail.com> wrote:
>>>
>>>> I apply commend "regress Y X" to analyze my data set.
>>>> I notice that STATA provide  "e(ll) log likelihood under additional
>>>> assumption of i.i.d.  normal errors."
>>>>
>>>> Does anyone know how STATA compute e(ll)? What does it mean? Any
>>>> information is appreciated.
>> *
>> *   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/



-- 
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index