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ah.. ok. Thanks for your help anyway, you are the only one being clear and direct to the point. Thanks!

Thanks for your answer, it helps a lot. At first, I thought exactly the same, and tried to code it in the logl-object. The thing is that phi_l is approximated by several different specifications, as seen in the picture below. 9_and_10.png Its just that my supervisor told me that phi_l should be esti...

ah, sorry if I didn´t explained the equation properly. The phi_l squared is the likelihood estimate that people act rationally towards inflation expectations, phi^e. What I meant with an embedded likelihood function is that the parenthesis is just a part of the whole equation (but maybe I described ...

Is it possible, in the logl-object, to estimate an regression with an embedded likelihood-function, as the equation below suggests: eq.07.png I have always thought so, since the idéa with maximum likelihood is to create a likelihood for the product of all residuals (sum likelihood), well at least th...

Hi, Below I have a picture of a weighting procedure for a 4-year moving average (16 quarters) in which the weights are estimated: eq.10.png Here, I´ve got the phi_t - series and need to obtain the phi_l - series. Does anyone know what to do? I´ve got the suggestion to estimate an AR-regression by OL...