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- Thu May 05, 2011 9:03 pm
- Forum: Estimation
- Topic: Full Information Maximum Likelihood Estimation
- Replies: 0
- Views: 1611
Full Information Maximum Likelihood Estimation
Hi I am trying to estimate the following equation with the help of Full Information Maximum Likelihood: Rit= α0 + γm*βim + γl*βil + βim*Rmt + βil*Lt + εit Where, Rit = Monthly return of portfolio i(i=1,2,3,4,5,6 and 7) in month t Rmt = Monthly return of ASX All ordinaries in month t Lt= unexpected c...