The RATS Software Forum

In some cases, we need to identify coefficients by using undetermined coefficients.
Like Morley Nelson Zivot MNZpaper, reduced form coefficients are identified by autocovariance.
To solve this system, I have a system of three quadratic equations. Is there a procedure for solving such system?

Use FIND MINIMUM with the criterion function being the absolute value or squared deviation between the actual and calculated values. For instance:

Code: Select all

nonlin sigsq theta
compute c0=135.0,c1=55.0
compute sigsq=135.0,theta=0.0
find min abs(c0-sigsq*(1+theta^2))+abs(c1-sigsq*theta)
end min