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Grocer >> Single equation regressions > ar1_like

ar1_like

log-likelihood for ols model with AR1 errors

CALLING SEQUENCE

[mlike]=ar1_like(,y,x)

PARAMETERS

Input

• param = parameter vector (k x 1)

• y = dependent variable vector (n x 1)

• x = explanatory variables matrix (n x m)

Output

• mlike = a scalar equal to -log(likelihood)

DESCRIPTION

Evaluates ols model with AR1 errors (minus) log-likelihood.

EXAMPLE

f=ar1_like(parm,grocer_y,grocer_x)
 
// example taken from olsar1.

AUTHOR

Eric Dubois 2002

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