On Thursday, Jul 24, 2003, at 02:33 US/Eastern, Chuntao wrote:
In page 29 of Maximum Likelihood Estimation with Stata (Gould and
Sribney 1999), the likelihood function for the linear regression model
is
written as:
lnL=SUM (ln (phi((y-x*beta)/sigma)) - ln(sigma))
where phi() is the standard normal PDF.
My Question is: How the last term, ln(sigma), comes to the likelihood
function?
Google returns
www.economics.unimelb.edu.au/subject_pages/
2003/semester1/316-470/2regression.pdf
Take a look at the expression for loglikelihood, recalling that sigma
is one of the parameters to be estimated in the regression problem.
Kit
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