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Re: st: what is SIGMA2 _const in arima


From   "Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: what is SIGMA2 _const in arima
Date   Thu, 24 Aug 2006 13:59:39 -0400

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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