Maximum Likelihood Estimation - ARMA

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ChockalingamKC
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Joined: Wed Dec 18, 2013 8:25 am

Maximum Likelihood Estimation - ARMA

Postby ChockalingamKC » Thu Dec 19, 2013 10:25 am

I have been implementing ARMA models in Eviews. for estimation i am using NLS and ARMA in the eviews. my team wants to use MLE. Eviews guide says NLS is asymtotical equivalent to MLE.
is there option to use MLE in eviews than NLS for ARMA estimation.

EViews Gareth
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Re: Maximum Likelihood Estimation - ARMA

Postby EViews Gareth » Thu Dec 19, 2013 10:29 am

Other than programming it yourself in the State Space object, no :(

ChockalingamKC
Posts: 9
Joined: Wed Dec 18, 2013 8:25 am

Re: Maximum Likelihood Estimation - ARMA

Postby ChockalingamKC » Tue Feb 18, 2014 9:32 am

Thanks for confirming that.

1) Is there any thing in pipeline for future versions in Eviews to have to it as standard options MLE estimation for ARIMA ?
2) If so how soon it will be

Most of people are not programming savvy in our place.

EViews Gareth
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Re: Maximum Likelihood Estimation - ARMA

Postby EViews Gareth » Tue Feb 18, 2014 9:34 am

It is on our list of things to look at. No ETA yet.


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