new;
load y[181,1] = Bitresid;

@ for a mixed process @


nobs=181;

library optmum;
#include optmum.ext;
optset;

ve = zeros(nobs,1);

proc nls(b);

local ve, i, k, vesq2, func;

ve = zeros(nobs,1);


i = 2;

do until i > nobs-1;



ve[i,1] = (1+b[2]*b[1])*y[i,1] - b[1]*y[i+1,1] -b[2]*y[i-1,1];


i = i+1;

endo;

ve = trimr(ve, 1, 1);


vesq2 = -ln(pi) - ln(b[3]) - ln(1 + (ve^2/ ((b[3])^2)));

func = - sumc(vesq2);

retp(func);
endp;

/*
b0 = 0.1|0.1|10;

b0 = 0.1|0.1|5;
*/

b0 = 0.6|0.7|0.8;

output file = bitopt3N.out reset;


{b,f,g,ret}=optprt(optmum(&nls,b0));

hh=_opfhess;
v=inv(hh);
se=sqrt(diag(v));
tt=b./se;

@ not valid for phi and psi @

a=b~se~tt;

print a;

end;