Regression Estimates, Maximum Likelihood, Ordinary Least Squares

21 views (last 30 days)
Hi everyone!
I´m trying to estimate the following model:
It is supposed to be really simple (nothing complicated) and I don´t have much knowledge in econometrics, so I don´t really know what model to use. At first I thought I should use Ordinary Least Squares, but then I thought using Maximum Likelihood Estimation because it is supposed to be more efficient. However, I don´t know if this is right. The data set is high frequency data, so I don´t know if that has an impact on the model to choose.
I would really appreciate any help :) or suggestions of what kind of model can I use.
Have a nice weekend!

Accepted Answer

Oleg Komarov
Oleg Komarov on 14 May 2011
When the errors are distributed normally then OLS (easiest) = MLE (numerical solution)
When the variance of the errors change from observation to observation (over time in your case) you have:
If the change is autocorrelated then you have to use arch models:
Which mean at least two courses in undergrad econometrics (OLS and Time Series). A good start could be Introductory econometrics by Wooldridge.
This link could be very useful and easy to understand:
Said that you could find a least squares solution to a system by simply doing:
x = A\b (OLS)
Good luck

More Answers (2)

bym on 14 May 2011
Seems like a simple multiple linear regression. Is e_t a constant?

Sign in to comment.

S.Behzad Hassani
S.Behzad Hassani on 30 May 2016

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!