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Maximum Likelihood Estimation - ARMA
Posted: Thu Dec 19, 2013 10:25 am
by ChockalingamKC
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.
Re: Maximum Likelihood Estimation - ARMA
Posted: Thu Dec 19, 2013 10:29 am
by EViews Gareth
Other than programming it yourself in the State Space object, no :(
Re: Maximum Likelihood Estimation - ARMA
Posted: Tue Feb 18, 2014 9:32 am
by ChockalingamKC
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.
Re: Maximum Likelihood Estimation - ARMA
Posted: Tue Feb 18, 2014 9:34 am
by EViews Gareth
It is on our list of things to look at. No ETA yet.