Re: st: Maximum likelihood estimation

[Joseph Monte <hmjc66@gmail.com>]

Dear Statalisters,

I'll try again with a little more info since I did not get any
responses. Here is the code I have so far (based on previous Statalist
posts and the book "Maximum Likelihood estimation with Stata" by
Gould, Pitbaldo and Poi, 4th ed.). The paper I cited in my first email
below models the log of the variance of the regression error in
equation 2 while I believe I have modelled the log of sigma. I would
preferably like to model the log of the variance as in the paper cited
but am not sure how.

cscript
  program mynormal_lf1
          version 12
		  args todo b lnfj g1 g2
          tempvar mu lnsigma sigma
		  mleval `mu' = `b', eq(1)
		  mleval `lnsigma' = `b', eq(2)
          quietly {
				gen double `sigma' = exp(`lnsigma')
				replace `lnfj' =  ln(normalden($ML_y1,`mu',`sigma'))
				if (`todo'==0) exit
				tempvar z
				tempname dmu dlnsigma
				gen double `z' = ($ML_y1-`mu')/`sigma'
				replace `g1' = `z'/`sigma'
				replace `g2' = `z'*`z'-1
		}
  end


ml model lf1 mynormal_lf1 (mu: y = x1 x2 x3 x4 x5 x6 x7 x8 x9)
(lnsigma: y = x1 x2 x3 x4 x5 x6 x7 x8 x9)
ml max

Thanks,

Joe



On Tue, Feb 12, 2013 at 9:54 AM, Joseph Monte <hmjc66@gmail.com> wrote:
> Dear Statalisters,
>
> I need to do a maximum likelihood estimation very similar to that in
> equations (1) and (2) on page 439 of Lowry et al. (2010). Note that
> equation 2 has the same independent variables as equation 1. I would
> appreciate it if someone would let me know the code I need to use with
> the help of an example. I use Stata 12.
>
> References
>
> Lowry, M., Officer, M.S., Schwert, G.W., 2010. The variability of IPO
> initial returns. The Journal of Finance 65, 425-465
>
>
> Thanks,
>
> Joe
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/