estimate using maximum likelihood

yt = δ + φ(1.5yt−1 −0.5yt−2) + ut −θ(1.5ut−1 −0.5ut−2)

it is an Arma process i want to know how to estimate in the maltab

Answer 1

[Shishir Singhal]

Hi,

Please refer to the documentation: https://in.mathworks.com/help/econ/arima.html

It will give you some insights about how to model an arma process in MATLAB.

Thanks