Autoregressive Distributed Lag Models with MA component

Amor-Aniss Benmoussa

2016 9 17

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Hello,

As the title suggests I try to estimate a time series model that incorporates several lag for different series, but with a MA component. Since I want to incorporate my term delay error I can not estimate my model by OLS so I have to use a non-linear method as the maximum likelihood. Someone could help me because I know what is the function that I have to minimize, but I can not implement it. Dufour explains how to do well with an arma(p, q) model ( http://www2.cirano.qc.ca/~dufourj/Web_Site/ResE/Dufour_2008_C_TS_ARIMA_Estimation.pdf page 3) which is similar in my case but with other time series.

Thank you

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Brendan Hamm 2016-9-20

在 MATLAB Online 中打开

Do you have the econometrics toolbox? This would likely make this easier.

These lines make no sense:

e = @(beta) fun;
logL = @(beta) (fun + logL);

What are you trying to do with them?

Amor-Aniss Benmoussa 2016-9-20

I want to estimate the parameters of a arima(1,0,1) model using non linear least-squares solver. I do not want to use the Matlab function already done, because I have to understand how to implement the MA component to add it in an another econometric model. And yes I have all the necessary toolbox.

Thank you

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