Is MLE the only way here? Is a two-step (GLS) heteroskedastic
weighted OLS estimation another way?
--- In [email protected], DevaneySP@n... (Steven Devaney)
wrote:
> Hello again
>
> Off-list I was asked to clarify what I meant.
>
> What I am interested in is whether anyone knows about or has
written an MLE procedure for estimating B in the set-up?
>
> y(i) = b0 + b1(i) + e(i)
>
> where
>
> b1(i) = B + n(i)
>
> I was hoping to use Hildreth and Houck, but cannot constrain
xtrchh so that t = 1.
>
> Steven Devaney
> University of Reading, UK
>
>
>
>
> DevaneySP@n... wrote:
>
> >Does anyone have experience of applying random coefficient models
to a single cross section of data? At present, all I can find in the
Stata literature is the application to panel data (under xtrchh). If
anyone has experience of this or has previously written routines for
such work, I would be interested in hearing from you.
> >
> >
> >
> >
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