st: Constrained MA model

[H�chle, Daniel (MI Switzerland) <daniel.hoechle@rmf.ch>]

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,
Daniel




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