[R] maximum likelihood

From: Alexandre Bonnet <bonnet_at_gmail.com>
Date: Sat 29 Jul 2006 - 10:39:36 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 =

*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*

Alexandre Bonnet

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Received on Sat Jul 29 10:44:56 2006

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