[R] Estimation of AR(1) model by QML.

[Simon Zehnder]

Why not using optim on the likelihood in a) with normally distributed standard errors and for b) optim with a likelihood with t(3)-distributed standard errors?

Best

Simon

On 30 Dec 2013, at 21:19, Xuse Chuse <chuse22 at gmail.com> wrote:

> Dear Users,
> 
> I am trying to estimate a model Y(t)=alpha+rho*Y(t-1)+e(t) where i know
> e(t)~t(3).
> 
> a) I want to estimate (alpha, rho) by QML estimation assuming (wrongly)
> that e(t)~N(0,sigma2) and calculate the standard errors.
> b) Estimate (alpha, rho) by ML estimation assuming (correctly) e(t)~t(3)
> and compute standard errors.
> 
> Can anyone help me out to figure out how I could answer this question in R?
> Thank you beforehand.
> 
> Cheers,
> Chuse
> 
> 	[[alternative HTML version deleted]]
> 
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