Franses, Philip Hans (contributor); … - 2004 - [Elektronische Ressource]
parameters in the
resulting Koyck model in (2). Of course, the appropriate estimation method here
is the maximum likelihood … method, which imposes that the AR and MA parameter
are the same. The (conditional) log-likelihood function is given by
lnL … MA part, so that the
model parameters can be estimated using the method of ordinary least squares. This
is obviously not …