Hi Rick, I posted to the wrong forum. I posted it again to the appropriate forum. However I will be glad if you could help me. proc arima data = sample ; by mainstrategy; identify var=returns nlag=6 outcov=acf noprint ; estimate q=2; run ; Is there a problem with using the by statement in arima procedure. Is there another way to achieve the same results without using the by statement. I am applying a second order moving average process (MA(2)) to uncover the unobserved returns. 𝑅𝑡0 = 𝜃0𝑅𝑡 + 𝜃1𝑅𝑡−1 + 𝜃2𝑅𝑡−2, (1) with 𝜃𝑗 ∈ [0,1], 𝑗 = 0,1,2, (2) and 1 = 𝜃0 + 𝜃1 + 𝜃2. I am trying to estimate the parameters of the model for each hedge fund strategy by maximum likeli- hood. Then the estimated parameters will be used to desmooth returns. How do i go about this last part. You help would be greatly appreciated
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