I’m looking for code to estimate a Gaussian MA(2) model by full information maximum likelihood. I have found several Kalman filtering packages that could do the job, but I was wondering if anyone has code for the special case of MA(q) models?
I’m looking for code to estimate a Gaussian MA(2) model by full information maximum likelihood. I have found several Kalman filtering packages that could do the job, but I was wondering if anyone has code for the special case of MA(q) models?