Re: st: Multivariate normal ML estimation

[John Antonakis <John.Antonakis@unil.ch>]

Take a look at the -sem- command, which makes it easy to estimate models 
via maximum likelihood.

HTH,
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

On 09.03.2013 18:50, gauss wrote:
> Dear Statalisters:
>
> I am trying to write a code for maximum likelihood estimation of
> multivariate model with normal error terms.
>
> y = x*b + u
>
> Here, say y is a bivariate vector and u has a multivariate normal
> distribution. x are regressors and b is the parameter vector. How can I code
> this by using ML command? One outstanding problem is that I don't know how
> to model the variance covariance matrix of u. Any way to write the log
> likelihood and make the ML estimation? Thanks!
>
>
>
>
>
> --
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