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Thread Subject:
MLE/HELP

Subject: MLE/HELP

From: TornaldiniO

Date: 20 Dec, 2005 20:19:47

Message: 1 of 3

Hi.
 
I am no good expert in econometrics and I desperately need to
estimate in MATLAB the parameters of a simple classical linear
regression model via maximum likelihood estimation. Can anyone help
me please? It also would be great if you provided a simple
illustrative example.
 
Thanks in advance

Subject: MLE/HELP

From: Dick Startz

Date: 20 Dec, 2005 17:29:22

Message: 2 of 3

On Tue, 20 Dec 2005 20:19:47 -0500, TornaldiniO
<coloradosuper@yahoo.com> wrote:

>Hi.
>
>I am no good expert in econometrics and I desperately need to
>estimate in MATLAB the parameters of a simple classical linear
>regression model via maximum likelihood estimation. Can anyone help
>me please? It also would be great if you provided a simple
>illustrative example.
>
>Thanks in advance

If your errors are distributed normally, then ordinary least squares
is MLE. To regress y on X
X\y
-Dick Startz
----------------------
Richard Startz RichardStartz@comcast.net
Lundberg Startz Associates

Subject: MLE/HELP

From: TornaldiniO

Date: 20 Dec, 2005 20:53:23

Message: 3 of 3

Error terms are not distributed normally. In addition, I have spatial
econometrics toolbox from Prof. Lesage. I know how to run basic OLS.
But I need MLE estimation of the parameters of a linear regression
model. Suppose I have Y column vector and X matrix, what do I do
next? Do I have to first define likelihood function somehow? Thanks!
Dick Startz wrote:
>
>
> On Tue, 20 Dec 2005 20:19:47 -0500, TornaldiniO
> <coloradosuper@yahoo.com> wrote:
>
>>Hi.
>>
>>I am no good expert in econometrics and I desperately need to
>>estimate in MATLAB the parameters of a simple classical linear
>>regression model via maximum likelihood estimation. Can anyone
> help
>>me please? It also would be great if you provided a simple
>>illustrative example.
>>
>>Thanks in advance
>
> If your errors are distributed normally, then ordinary least
> squares
> is MLE. To regress y on X
> X\y
> -Dick Startz
> ----------------------
> Richard Startz RichardStartz@comcast.net
> Lundberg Startz Associates
>

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