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st: what is SIGMA2 _const in arima


From   "Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: what is SIGMA2 _const in arima
Date   Thu, 24 Aug 2006 13:31:06 -0400

Hi,
I am trying to estimate a model, in which errors follow an MA(1). I have panel data, and I assume that for each cohort, coefficients are the same. I ran:

arima y x if cohort==1935, ma(1) condition

I have two questions:

1. when the estimation finished its run, it used BFGS and for the estimate of the white-noise disturbance epsilon it showed instead of the usual '/sigma', I got SIGMA2 _const =0.10...

what does this mean? I looked in the manual, but there is no mention of this.

2. When trying to predict the errors or the predicted values, I got an error message saying that the sample cannot include panels.

Is there a way to get the predicted values and/or white-noise errors?

thank you,
olga


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