[R] Time series\optimization question not R question
Leeds, Mark (IED)
Mark.Leeds at morganstanley.com
Tue May 22 16:29:19 CEST 2007
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.
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