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 on April 23, and its replacement, is already up and running.

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

Re: st: Multivariate normal ML estimation

From   John Antonakis <>
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.



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
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

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!

View this message in context:
Sent from the Statalist mailing list archive at
*   For searches and help try:

*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index