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   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How does STATA compute e(ll) ??
Date   Thu, 21 Feb 2013 14:59:59 +0000

As Maarten underlines separately, this is true in spirit, but not
exactly in practice for RMSE.

Nick

On Thu, Feb 21, 2013 at 2:56 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> First off, please note the correct spelling "Stata", as explained in
> the Statalist FAQ you were asked to read before posting.
>
> As you say, the simplest uses of the -regress- command can be thought
> of straight applications of ordinary least-squares. But particularly
> as a link to more advanced or more general work, Stata reports the
> same results as they would be obtained under an equivalent assumption
> of maximum likelihood and normal (Gaussian) errors.
>
> Most of the code for -regress- is part of the executable and not .ado
> code. So, my understanding is that -regress- is not built upon any use
> of -ml-, but it's safe to assume that key results are exactly
> equivalent to that way of writing the command. Somewhere in the
> documentation, if I recollect correctly, this is used as an example.
>
> Nick
>
> On Thu, Feb 21, 2013 at 2:47 PM, Hsien-Yuan Hsu <hsuhy0914@gmail.com> wrote:
>
>> 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?
>
>  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-.
>
> 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.
>
> On Thu, Feb 21, 2013 at 8:47 AM, Mark (Hsien-Yuan Hsu)
>
>>>>> 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/


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