st: Question about ML

[Cameron Hooper <chooper@umich.edu>]

Hi

I have a question about using the -ml- command.  I've had a look at the 
reference manual, but it's a bit over my head.  I've seen the book 
about ML available from Stata, but I thought someone on this list might 
be able to help me out.

I have the following log likelihood function:

lfn = log( exp(-2*e*T) * ( (1-a) * e^(B+S) + a*d*exp(-u*T) * (e^B) * 
(u+e)^s +
                            a * (1-d) * exp(-u*T) * (u+e)^B * (u+e)^B * 
e^S ) )

The unknown parameters are {e,a,d,u). The dataset contains 59 
observations of B and S (daily buys and sells on the NYSE). T is a 
constant.

Here are the first 10 lines of the dataset:

. use http://www-personal.umich.edu/~chooper/stata/adm
. list in 1/10

     +-----------------------------------------------+
     | ticker   permno        date   day     B     S |
     |-----------------------------------------------|
  1. |    ADM    10516   01 Oct 90   190   158   112 |
  2. |    ADM    10516   02 Oct 90   191   190   201 |
  3. |    ADM    10516   03 Oct 90   192   127   133 |
  4. |    ADM    10516   04 Oct 90   193   163   102 |
  5. |    ADM    10516   05 Oct 90   194   158   116 |
     |-----------------------------------------------|
  6. |    ADM    10516   08 Oct 90   195    98    72 |
  7. |    ADM    10516   09 Oct 90   196    93   108 |
  8. |    ADM    10516   10 Oct 90   197    95   128 |
  9. |    ADM    10516   11 Oct 90   198   132   142 |
 10. |    ADM    10516   12 Oct 90   199   138    78 |
     +-----------------------------------------------+

Any suggestions greatly appreciated.

Cameron

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