Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...

There are three SAS procedures that enable you to do maximum likelihood estimation of parameters in an arbitrary model with a likelihood function that you define: PROC MODEL, PROC NLP, and PROC IML.

This example calculates confidence intervals based on the profile likelihood for the parameters estimated in the previous example. The following introduction on profile-likelihood methods is based on ...