Thanks Gareth for your reply.
Is there any other convenient way to do Maximum Likelihood estimation with ar(1) error terms?
Search found 2 matches
- Thu Jun 15, 2017 10:38 pm
- Forum: Programming
- Topic: Defining an AR(1) error term in FIML system
- Replies: 3
- Views: 3568
- Thu Jun 15, 2017 8:48 pm
- Forum: Programming
- Topic: Defining an AR(1) error term in FIML system
- Replies: 3
- Views: 3568
Defining an AR(1) error term in FIML system
I was trying to specify a system to run Full Information Maximum Likelihood (FIML) estimator to replicate the research "Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach" http://www.sciencedirect.com/science/article/pii/S0304393205000784 The system sp...