To derive the log likelihood function of an MA(1) we condition on ϵ_0.
But when deriving the log-likelihood function function for an AR(1) we don't.
Why not? Is it just because ϵ_0 isn't found in the AR(1) equation?
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- Sat Nov 14, 2015 4:21 am
- Forum: Econometric Discussions
- Topic: log likelihood function ARMA
- Replies: 0
- Views: 1999