[Gretl-users] Re: Fwd: FIML estimation in single equation regression
Dear Sven
Thanks for your fast response.
Best regards
José
Enviado desde mi iPhone
> El 1 may 2020, a las 17:47, Sven Schreiber <svetosch(a)gmx.net> escribió:
>
> Am 30.04.2020 um 18:38 schrieb José Perles:
>> Thanks Sven for your fast response. In fact I have a sample with
>> lots of missing data. From 207 observations I get with OLS command an
>> effective sample size of 76. I have seen that FIML would be a
>> solution and some perform the analysis for example in Stata using
>> “sem” command (method=mlmv). I would know of it is possible to
>> replicate the Stata result in Gretl. Thanks again José
>
> OK I briefly looked at what sem/mlmv is supposed to do in Stata, and
> first of all I like that they don't call it FIML. Because as you saw
> FIML is also used in other contexts such as multiple equations
> estimation. So this is a specific way of handling data that is "missing
> at random".
>
> I'm not aware that this estimator is available in gretl or in a
> contributed package, sorry.
> Of course, being an ML estimator one could use the ML (mle ... end mle)
> interface that exists in gretl, see also ch. 24 of the guide. There you
> would have to write down the likelihood, but I'm guessing you were
> looking for an easier off-the-shelf way.
>
> cheers
> sven
>
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