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sigma_beta
2006 Oct 23
0
likelihood question not so related to R but probably requires the use of R
...I understand what to do.
Both models are delta y_t = Beta + epslion
and suppose I have a null hypothesis and alternative hypothesis
H_0 : delta y_t = zero + epsilon epsilon is normal ( 0,
sigmazero^2 )
H_1 delta y_t = beta + epsilon epsilon is normal (
sigmabeta^2 )
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so, i calculate the MLE's under the null and the alternative as :
under H_0 beta hat = 0 and sigmazero^2 hat =...