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RE: st: RE: RE: RE: Seasonal adjustment?


From   "Thuy Le" <tl6775a@american.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: RE: RE: Seasonal adjustment?
Date   Thu, 19 Aug 2004 11:23:19 -0400

Of course, you can estimate that model, but before you can do that, it is
necessary to test for the existence of seasonality, outliers, and other
moving holiday effects. X-12-ARIMA does that for you, and it even suggest
the best fit (p,d,q)(P,D,Q) model for you. Then, after the adjustments, you
will need to test the data again to make sure the adjustment is adequate and
appropriate. X-12-ARIMA does that also. What I emphasize here is
X-12-ARIMA's diagnostics, which are excellent.

STATA is not able to do that.

Ky Tran

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Stanislav
Kolenikov
Sent: Thursday, August 19, 2004 11:08 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: RE: RE: Seasonal adjustment?


--- In statalist, Ky Tran wrote:
> I don't see X-12-ARIMA in STATA.

I believe you can estimate simple (p,d,q)(P,0,0)_s models with

arima depvar L12.depvar , arima(p,d,q)

for P=1,

arima depvar L12.depvar L24.depvar, arima(p,d,q)

for P=2, etc. by using the lag operator L. Likewise, you can make the
seasonal differences. The real (P,D,Q)_s models would require getting
into the guts of -arima- and mimicking the code to work on the
seasonal part... and -findit x12- does not reveal anybody who has done
this before.

Stas


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