Why not using optim on the likelihood in a) with normally distributed standard
errors and for b) optim with a likelihood with t(3)-distributed standard errors?
Best
Simon
On 30 Dec 2013, at 21:19, Xuse Chuse <chuse22 at gmail.com> wrote:
> 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
>
> [[alternative HTML version deleted]]
>
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