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Posted: **Sun Jun 27, 2010 1:20 am**

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?

Posted: **Sun Jun 27, 2010 8:35 am**

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

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