Maximum Likelihood Estimate

[joseph]

I run LS estimate for Linear Regression but error distibution is not normarlity distribution so i want to use another method to analysis. I think it is Maximum Likelihood Estimate(MLE). How to use MLE for Linear Regession in Eview?

Thanks

[EViews Gareth]

You need to use the LogL object. It is pretty well documented in the User Guide.

[joseph]

it is complex, so difficult to understand. :(

[samijo]

Isn't normality of the error is a necessary condition for MLE, I might be wrong, but I guess you meant GMM!

[EViews Gareth]

No, normality is not required for MLE.

[joseph]

Thank you!

Because I want to use various methods to analysis, possible to compare results together.

please give me some idea for estimate methods (linear regression), Thank you!

Joseph