[R] Time series\optimization question not R question

From: Leeds, Mark (IED) <Mark.Leeds_at_morganstanley.com>
Date: Tue, 22 May 2007 10:29:19 -0400


This is a time series\optimization rather than an R question : Suppose I have an ARMA(1,1) with
restrictions such that the coefficient on the lagged epsilon_term is related to the coefficient on
The lagged z term as below.

z_t =[A + beta]*z_t-1 + epsilon_t - A*epsilon_t-1

So, if I don't have a facility for optimizing with this restriction, is it legal to set A to something and then
Optimize just for the beta given the A ? Would this give me the same answer likelihood wise, of optimizing both jointly with the restriction ? This methodology doesn't sound right to me. Thanks.

P.S : abs(A + beta) also has to be less than 1 but I was just going to hope for that and not worry about it right now.


This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}



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