Dear Users,
I am trying to estimate a model Y(t)=alpha+rho*Y(t-1)+e(t) where i know
e(t)~t(3).
a) I want to estimate (alpha, rho) by QML estimation assuming (wrongly)
that e(t)~N(0,sigma2) and calculate the standard errors.
b) Estimate (alpha, rho) by ML estimation assuming (correctly) e(t)~t(3)
and compute standard errors.
Can anyone help me out to figure out how I could answer this question in R?
Thank you beforehand.
Cheers,
Chuse
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