Alexandre Bonnet <bonnet <at> gmail.com> writes: > > *hi,* > > *using articial data, i'm supposed to estimate model* > > *y(t) = beta(1) + beta(2)*x(t) + u(t), u(t) = gamma*u(t-1) + v(t), t = > 1,...,100* > > *which is correctly specified in two ways: ML ommiting the first > observation, and ML using all 100 observation.* >
[etc.] Alexandre, I think you're not getting any answers to this question because it's a bit too vague (we have no context as to _why_ you want to do this -- it also sounds a bit like a homework question ...), and because it's stated much more as a general statistical methodology question than as an R question. Please read the posting guide ... Doing this without specifying any parametric forms would be tricky. You may be able to do this by searching for autoregressive model methods in RSiteSearch ... Ben Bolker ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
