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st: Constrained MA model

From   Höchle, Daniel (MI Switzerland) <>
To   <>
Subject   st: Constrained MA model
Date   Mon, 19 May 2008 09:06:15 +0200

Dear all,

I would like to estimate a constrained MA(2) model by maximum likelihood estimation. The model has the following structure:

X_t = theta_0*e_t + theta_1*e_{t-1} + theta_2*e_{t-2}      with the constraint:   1 = theta_0 + theta_1 + theta_2

where theta_0 through theta_2 denote the regression parameters to be estimated.

I would greatly appreciate any comment on how to estimate this model in Stata. Thanks a lot for your help in advance.

Best regards,

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