Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: ARMA(1,1) with Multiple Panels


From   vwiggins@stata.com (Vince Wiggins, StataCorp)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ARMA(1,1) with Multiple Panels
Date   Tue, 22 Aug 2006 16:23:41 -0500

Many thanks for this extremely helpful suggestion!

Regarding the conditional ML estimator for -arima- models, Alexander Gelber
<gelber@fas.harvard.edu> goes on to ask,

> When you say that the "conditional estimator is conditional on
> simple rules for starting the process at the beginning of the
> sample," what simple rules or assumptions, in particular, are you
> referring to?  I have had trouble finding the answer using Stata
> help.

Primarily that e_t=0 and u_t=0 in first periods before they can be estimated
from the data, see [TS] arima and the associated references for details.


-- Vince
   vwiggins@stata.com



*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index