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Thread: showing the max of the log liklihood function of an AR(1) is smaller than AR(p)

  1. #1
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    showing the max of the log liklihood function of an AR(1) is smaller than AR(p)

    I am asked to show that the log likelihood function of an AR(1) is less than that of an AR(p) at its maximal value.

    How can I go about doing this? I've asked others and they tell me to write out the log liklihood function and i will see. I have the log liklihood functions from James D Hamilton's book on time series and I dont see why one is necessarily bigger than the other.
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  2. #2
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    Re: showing the max of the log liklihood function of an AR(1) is smaller than AR(p)

    Hey kingsolomonsgrave.

    Can you show us the log likelihood functions that you have obtained?
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