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Re: st: ARMA(1,1) with Multiple Panels
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?
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
> <email@example.com> 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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