Improved Inference for Moving Average Disturbances in Nonlinear Regression Models

Table 2

NLS results with errors 𝑢_𝑡∼𝑖𝑖𝑑(0,𝜎²_𝑢) and MLE results with MA(1) errors given by (35).

Parameters	Naive NLS estimates		ML estimates
	Estimates	Stand. errors	Estimates	Stand. errors
𝛽1	131.8	4.692	129.3	1.543
𝛽2	4.600	0.135	4.644	0.021
𝛽3	0.878	0.005	0.8901	0.001
𝜎^2𝑢	1.462	0.032	⋯	⋯
𝛾	⋯	⋯	0.709	0.154
𝜎^2𝜖	⋯	⋯	1.074	0.004