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Re: st: Multivariate normal ML estimation


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Multivariate normal ML estimation
Date   Sat, 09 Mar 2013 19:09:52 +0100

Take a look at the -sem- command, which makes it easy to estimate models via maximum likelihood.

HTH,
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

On 09.03.2013 18:50, gauss wrote:
Dear Statalisters:

I am trying to write a code for maximum likelihood estimation of
multivariate model with normal error terms.

y = x*b + u

Here, say y is a bivariate vector and u has a multivariate normal
distribution. x are regressors and b is the parameter vector. How can I code
this by using ML command? One outstanding problem is that I don't know how
to model the variance covariance matrix of u. Any way to write the log
likelihood and make the ML estimation? Thanks!





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