estimation by maximum likelihood when errors are non-normals

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Vins
Posts: 5
Joined: Fri Jul 31, 2009 7:09 am

estimation by maximum likelihood when errors are non-normals

Postby Vins » Fri Jul 31, 2009 7:15 am

How can I specify an other distribution (than the normal) for errors in the estimation by maximum likelihood?
Thank you
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EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: estimation by maximum likelihood when errors are non-normals

Postby EViews Gareth » Fri Jul 31, 2009 8:01 am

When you specify the likelihood function, specify it for the distribution you want.

There is nothing intrinsic in the LogL object that says it uses a normal distribution.
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