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


From   Alexander Gelber <gelber@fas.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ARMA(1,1) with Multiple Panels
Date   Wed, 23 Aug 2006 01:13:40 -0400 (EDT)

Thank you, this was quite helpful.

However, I understand that conditional MLE is inappropriate for a
nonstationary series, so that it would not be a good idea to use the
"condition" option.  If my series is nonstationary, what alternatives
would I have for estimating an ARMA(1,1) with multiple panels?

Best,

Alex

On Tue, 22 Aug 2006, Vince Wiggins, StataCorp wrote:

> 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
>
>
>
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