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Re: st: Help with ARIMA


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Help with ARIMA
Date   Tue, 22 Apr 2003 11:55:59 -0400

Dear Clarence,
 You could try setting the matsize to 800.
   - Bob Yaffee


Robert A. Yaffee, Ph.D.
Senior Research/Statistical Consultant
Statistics and Social Science Group
Information Technology Services
Academic Computing Services
New York University
251 Mercer Street
New York, New York, 10012
phone: (1)212-998-3402
fax: (1)212-995-4120
e-mail: yaffee@nyu.edu
        ray1@nyu.edu 
Office location: 75 Third Avenue
                           Level C-3
                           New York, NY 10003

----- Original Message -----
From: Clarence Tam <Clarence.Tam@lshtm.ac.uk>
Date: Tuesday, April 22, 2003 11:22 am
Subject: st: Help with ARIMA

> 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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