Thanks a lot for your reply Gareth. The log-likelihood function is as follows:
f_t((c);X1_t,X2_t|Y_t)=-ln(2pi)-(X1_t-1+X2_t-1)-{[Y_t-c(1)-c(2)*X1_t-1-c(3)*X2_t-1]^2}/2v_t-1
Search found 2 matches
- Fri Feb 19, 2016 6:44 pm
- Forum: Programming
- Topic: Miscellaneous MLE
- Replies: 3
- Views: 2978
- Fri Feb 19, 2016 11:49 am
- Forum: Programming
- Topic: Miscellaneous MLE
- Replies: 3
- Views: 2978
Miscellaneous MLE
Hi, Could you please help me estimate via MLE the specification below? I am given only the dependent variable Y. My independent variables are separate AR(1) processes. Here it is: @ename e1 @evar var(e1)=1 Y=c(1)+c(2)*X1(-1)+c(3)*X2(-1)+(v(-1)^(0.5))*e1 X1=c(4)*X1(-1)+c(5)*e1+c(6)*(@abs(e1)-(2/pi)^(...