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03.1.1 利用完全数据似然推导有序 Probit 与 Logit 观测信息矩阵：解答
Deriving the observed information matrix in ordered probit and logit models using the complete-data likelihood function—solution.
03.1.1 利用完全数据似然推导有序 Probit 与 Logit 模型的观测信息矩阵
Louis (1982) presents a method for computing the observed information matrix and standard errors of maximum likelihood estimates obtained via the EM algorithm based on the complete-data log likelihood function. The problem illustrates the well-known method of Louis (1982) for a widely used qualitative response model in econometrics. The observed-data log likelihood function for the following model can, of course, be easily differentiated to obtain the observed information…