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monogan
2011 Mar 28
1
maximum likelihood accuracy - comparison with Stata
...my
own maximum likelihood estimation.
Secondly, the estimates for sigma2 are very different between R
and Stata. 3.14 in R compared to 1.78 in Stata.
I have copied my maximum likelihood program below. It is copied from
a great intro to MLE in R by Macro Steenbergen
http://artsci.wustl.edu/~jmonogan/computing/r/MLE_in_R.pdf
Any comments are welcome. In particular I would like to know why the
estimate of sigma2 is so different. I would also like to know
about the accuracy of the coefficient estimates.
## ols
ols <- lm(Kmenta$consump ~ Kmenta$price + Kmenta$income)
coef(summary(ols))...