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st: what is SIGMA2 _const in arima
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
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
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?
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