Dear Ignacio,
I'm trying to estimate the parameters of a HW method by means of MLE command:

mle ll = -1/2*log(2*$pi*s2)-1/2*(e^2)/s2
loop i=1+s...$nobs
(HW method)
params alpha beta gamma
end mle

Unfortunately the loop command is not permitted by mle commnd!
Have you any idea/advice to solve this problem?

Best regards,
Paolo Chirico
Assistant Professor of Economic Statistics
Dept. of Economics and Statistics "Cognetti de Martiis"
Campus Luigi Einaudi, University of Turin