[R] maximum likelihood

From: Alexandre Bonnet <bonnet_at_gmail.com>
Date: Sat 29 Jul 2006 - 09:26:14 EST


using articial data, i'm supposed to estimate model

y(t) = beta(1) + beta(2)*x(t) + u(t), u(t) = gamma*u(t-1) + v(t), t = 1,...,100

which is correctly specified in two ways: ML ommiting the first observation, and ML using all 100 observation.

since i'm still learning how to use R, i would like to know how MLE works.

there is neither information about the distribution of v(t) nor if u(t) follows a stationary process.

suppose that v(t) is normaly distributed - so we want to estimate beta(1), beta(2) and sigma2 (the variance of v(t)).

thanks in advance!

alexandre bonnet
getulio vargas foundation, brazil

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