Glen wrote: > "David Jones" <[EMAIL PROTECTED]> wrote in message > news:<[EMAIL PROTECTED]>... >> 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. > > I think you mean independence of something else, possibly errors, > since the residuals are not independent (for starters, at least for > normal theory regression, they add to zero). > > Glen
No, I meant residuals, as opposed to fitted residuals (which may be what you mean by "residuals"). 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/ . =================================================================
