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

From (Vince Wiggins, StataCorp)
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
<> 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

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