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st: ml model help

From   "Ed Blackburne" <>
To   <>
Subject   st: ml model help
Date   Thu, 26 Sep 2002 09:27:05 -0500

I wish to estimate a nonlinear MA(1) process such as

where u_plus=max(0,u}) and u_minus=min(0,u)

I have reviewed the ML manual and understand (obviously not!!) STATA's theta

However, I still am unclear on how to write the program for ML.

Any help would be appreciated.

-Ed Blackburne
Assistant Professor
Economics and International Business
Sam Houston State University

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