So, in some papers using panel data, I noticed that in the estimate results inherent a pooled OLS regression, they report the value of the log-likelihood.
I was wondering how this is possible, in Stata, since OLS and ML are two separate estimators.
I can I hence obtain the log-likelihood value, in Stata, when running a pooled OLS regression (for panel data). Which is the Stata command I should use?
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Best Answer
The OLS solution coincides with MLE for multivariate normal variable. That is if we assume that $y_isim N(x_ibeta,sigma^2)$ with data $(y_i,x_i)$ the MLE solution for $beta$ coincides with OLS. Hence when reporting MLE value for OLS solution the normal distribution model is used.