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From |
"Carlo Fezzi" <c.fezzi@uea.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: multivariate normal regression with ml, linear form |

Date |
Wed, 18 Feb 2009 12:59:18 -0000 |

Dear all, I am trying to write my likelihood function to estimate a multivariate normal regression using the method ?lf?. I am not sure how write a function flexible enough to work with different numbers of equations, in particular, I don?t know how to define the arguments. For example, given a model with 5 equations: ------------------ clear set obs 1000 global neq = 5 matrix r = (1, 0.35, 0.5, 0.7, 0.1 \ 0.35, 1, 0.2, 0.1, 0.6 \ /// 0.5, 0.2, 1, 0.4, 0.3 \ 0.7, 0.1, 0.4, 1, 0.4 \ /// 0.1, 0.6, 0.3, 0.4, 1) drawnorm u1 u2 u3 u4 u5, corr(r) gen x1 = uniform() -0.5 gen x2 = 2*uniform() + 0.5 gen y1 = 0.5 + 4*x1 + u1 gen y2 = -1 -2*x1 + 3*x2 + u2 gen y3 = 3 + 3*x1 - 2*x2 + u3 gen y4 = -3 +x1 + x2 + u4 gen y5 = 6 - 4*x1 + u5 capture program drop multireg_lf program multireg_lf version 10.1 args ??????? ------------------ I don?t know how to define the args. For example, if it is a bivariate equations it would be mu1 mu2 lnsigma1 lnsigma2 r12, but for a 4 or 5 equations model it would have of course more arguments. I guess it could be a function of the global var neq, but I don?t know which is the correct way to specify the args. I am having a look at the book ?maximum likelihood estimation with Stata? but they show how to do it with the method ?d1?, which is not really what I want. I would by far prefer ?lf?. I would be very grateful to any of the expert users of ml for their advice, All the best, Carlo ************************************************** Carlo Fezzi Senior Research Associate Centre for Social Research on the Global Environment (CSERGE) Department of Environmental Sciences University of East Anglia Norwich (UK) NR2 7TJ Telephone: +44(0)1603 591385 Fax: +44(0)1603 593739 ************************************************* * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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