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


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   "Nick Cox" <n.j.cox@durham.ac.uk>, <statalist@hsphsun2.harvard.edu>
Subject   RE: st: ARMA(1,1) with Multiple Panels
Date   Wed, 23 Aug 2006 14:00:55 +0100

This line is offered for sacrifice. 

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

> -----Original Message-----
> From: Nick Cox 
> Sent: 23 August 2006 13:27
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: RE: st: ARMA(1,1) with Multiple Panels
> 
> 
> Correction: processes, not series, are nonstationary. 
> 
> 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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