I want to use mle to estimate theta for Inverse hyperbolic sine transformation , I have written the likelihood function as follows:
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Because the y in myresearch is profit ,and it has negative values.So I want to use mle to estimate the theta and some mistakes arised. it shows "= is not a valid command name" after `y'=asinh(`theta' * $ML_y) / `theta'.Here is my code:
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Code:
sysuse auto.dta cap program drop mylf program define mylf args lnf mu sigma theta `y'=asinh(`theta' * $ML_y) / `theta' quietly replace `lnf' = ln(normalden((`y' - `mu')/`sigma')) - ln(`sigma') - (1/2)*ln(1+(($ML_y)^2) * ((`theta')^2)) end reg price mpg rep78 headroom trunk matrix b=e(b) matrix b=b,0 ml model lf mylf ( price = mpg rep78 headroom trunk)(sigma:)(theta:) ml check ml init b,copy skip ml max
I wonder if you can figure out mistakes in my code,many thanks in advance
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