I wish to estimate a nonlinear MA(1) process such as
y_t=u_t+b*u_plus{t-1}+c*u_minus{t-1)
where u_plus=max(0,u}) and u_minus=min(0,u)
I have reviewed the ML manual and understand (obviously not!!) STATA's theta
notation.
However, I still am unclear on how to write the program for ML.
Any help would be appreciated.
____________________________________
-Ed Blackburne
Assistant Professor
Economics and International Business
Sam Houston State University
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