Dear forum,
I am struggling with my variable lists once again. I expected the following two ML
estimations to give the same results, but they don't. Any ideas?
#estimation 1
scalar c_ = 0.1
scalar rng = 0.1
scalar err = 0.2
mle ll = -ln(lambda) - sqrtPark/lambda
series lambda = mean(sqrtPark)
series lambda = c_ + rng * sqrtPark(-1) + err * lambda(-1)
params c_ rng err
end mle --robust
#estimation 2
list xDepVars = sqrtPark
list xExpVars = sqrtPark(-1)
c_ = 0.1
rng = 0.1
err = 0.2
series xDepVar = xDepVars[1]
series xExpVar = xExpVars[1]
mle ll2 = -ln(lambda2) - xDepVar/lambda2
series lambda2 = mean(xDepVar)
series lambda2 = c_ + rng * xExpVar + err * lambda2(-1)
params c_ rng err
end mle --robust
Many thanks in advance,
Daniel