praxis wrote: > Hi all. > > Assuming I do a multiple regression using ML estimation instead of > OLS, do I still need to meet all the assumptions like normal > distribution assumption, linearity assumption, and/or > homoscadesticity assumption? If yes, could anyone explain why? > > Thanks in advance. > > praxis
No, or perhaps yes. If you are unable to "meet all the assumptions like normal distribution assumption, linearity assumption, and/or homoscadesticity assumption", then you need to be able to write down a model which reflects the assumptions you are prepared to make, and to be able to parameterise this model using few enough parameters that ML estimation will be able to produce sensible estimates. You should bear in mind the usual simple example cases where ML estimation doesn't work (produces non-consistent estimates as the sample size increases). BTW you forgot to mention the "independence of residuals" assumption. David Jones . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
