Re: st: what is SIGMA2 _const in arima

["Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>]

Unfortunately your suggestion (predict x, xb) doesn't work, since as I 
mentioned, I am using

arima y x if cohort==1935, ma(2) condition

specifying `condition'  takes care of the fact that I have a panel, meaning 
repeated observations for each year of data. but when using  predict x, xb 
after that regression doesn't work, (I tried it already) and adding to it 
predict x, xb condition doesn't either.

Any ideas what will work?



Olga Gorbachev Melloni
Ph.D. student in Economics at Columbia University
(212)866-6091
502 W122 Street, apt. 62
NY, NY 10027






> From: Robert A Yaffee <bob.yaffee@nyu.edu>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: what is SIGMA2 _const in arima
> Date: Thu, 24 Aug 2006 13:52:25 -0400
>
> Olga,
>   To obtain the errors, after running the ARIMA, you type:
> predict error, resid
>   To obtain the predicted values in an ARIMA, after running
> the ARIMA you type:
>   predict pred
>
>    Regards,
>         Bob Yaffee
>
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Shirley M. Ehrenkranz
> School of Social Work
> New York University
>
> home address:
> Apt 19-W
> 2100 Linwood Ave.
> Fort Lee, NJ
> 07024-3171
> Phone: 201-242-3824
> Fax: 201-242-3825
> yaffee@nyu.edu
>
> ----- Original Message -----
> From: Olga Gorbachev Melloni <olga_gorbachev@hotmail.com>
> Date: Thursday, August 24, 2006 1:31 pm
> Subject: st: what is SIGMA2 _const in arima
>
> > 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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> >
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