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st: Help with ARIMA


From   "Clarence Tam" <Clarence.Tam@lshtm.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Help with ARIMA
Date   Tue, 22 Apr 2003 16:22:53 +0100

Hi,

I've been trying to fit a seasonal ARIMA model to a weekly time series, but I'm having some problems. So far I've fitted an ARIMA model on the log transformed data with 1 first order differencing, 1 seasonal differencing (52 weeks), 1 AR term and 1 MA term (both of lag 1). This is the command I used:

. arima DS52.lnreps, ar(1) ma(1) noconstant

where 'lnreps' is the log transformed series. Model diagnostics suggest that there's a residual seasonal correlation (at week 52) both in the ACF and PACF. My next step was going to be to include an additional AR or MA term to account for this, but I'm not sure how to do it. I've tried:

. arima DS52.lnreps, ar(1) ma(1 52) noconstant

but Stata says that the matsize is too small, even though it's set at the maximum of 800 (I'm using Intercooled Stata 8.0). I'm not even sure why it says this as I'm only trying to add one extra parameter to the model.

Does anyone have any suggestions on how to get round this problem (preferably ones that don't involve upgrading to Stata SE...)?

Many thanks,

C.


Clarence Tam
Infectious Disease Epidemiology Unit
Department of Infectious & Tropical Diseases
London School of Hygiene & Tropical Medicine
Keppel Street
LONDON WC1E 7HT

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