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st: Constrained MA model
Dear all,
I would like to estimate a constrained MA(2) model by maximum likelihood estimation. The model has the following structure:
X_t = theta_0*e_t + theta_1*e_{t-1} + theta_2*e_{t-2} with the constraint: 1 = theta_0 + theta_1 + theta_2
where theta_0 through theta_2 denote the regression parameters to be estimated.
I would greatly appreciate any comment on how to estimate this model in Stata. Thanks a lot for your help in advance.
Best regards,
Daniel
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A-03-03-E
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