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


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: ARMA(1,1) with Multiple Panels
Date   Wed, 23 Aug 2006 13:27:27 +0100

Nick 
n.j.cox@durham.ac.uk 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Nick Cox
> Sent: 23 August 2006 13:24
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: ARMA(1,1) with Multiple Panels
> 
> 
> If your series is nonstationary, why do you think ARMA(1,1) 
> is a plausible model? Am I missing something? 
> 
> Nick 
> n.j.cox@durham.ac.uk 
> 
> Alexander Gelber wrote 
>  
> > 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
> > 

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