From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] MLE with endogenouly determined moving average To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.LNX.2.00.1107211039570.12081(a)waverley.Belkin&gt; Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed On Wed, 20 Jul 2011, Johann Jaeckel wrote: > It's my first time posting on this list. I hope the issue I am having is > appropriate for this forum. Any help is greatly appreciated. > > I want to estimate a simple model with one independent variable using > MLE with a twist. > > The twist is the following, the effect of the independent variable (X) > is split into a short run (SR) and a long run (LR) coefficient. My model > thus looks like this: > > Y = a + b1*X_LR + e_LR + b2*X_SR + e_SR > > where e_LR and e_SR are i.i.d. disturbances. X_LR is a centered moving > average of the independent variable and X_SR is the deviation of the > actual series from its moving average. > > The length of the moving average should be determined endogenously, i.e. > in such a way that the likelihood function is maximized. > > Now, I am capable of running a basic MLE in Gretl by specifying the > log-likelihood function and the derivatives. However, I am having > troubles with creating the short run and the long run series and in > particular with the endogenous determination of the length of the moving > average. > > I have a hunch that I need to iterate the MLE command itself, but I have > no clue how to implement this in a script. I don't know how helpful this is, but here's illustrative use of a loop: <hansl> nulldata 200 series y = normal() series x = normal() # set the longest allowable MA pmax = 30 # observations lost at start and end lost = int(pmax / 2) p_mle = 0 llmax = -1e300 loop p=2..pmax -q smpl --full series LR = movavg(x, p, 1) series SR = x - LR # ensure common sample size smpl +lost -lost ols y 0 LR SR --quiet printf "p = %02d, loglik = %f\n", p, $lnl if $lnl > llmax llmax = $lnl p_mle = p endif endloop printf "\nloglik maximized at %f for p = %d\n", llmax, p_mle </hansl> Allin Cottell ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 54, Issue 28 *******************************************