Does anyone have a MLE proc - concentrated log-likelihhood?
--- In [email protected], "easycalcs" <easycalcs@y...> wrote:
> 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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