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03.1.1. Deriving the Observed Information Matrix in Ordered Probit and Logit Models Using the Complete-Data Likelihood Function
Published online by Cambridge University Press: 01 February 2003
Extract
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 matrix; our objective is to illustrate the method and not to recommend its use for this model.
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