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Re: st: what is SIGMA2 _const in arima
When I spoke to Dave Drukker about this, he said that the reason that
the sigma squared term in the arima with the conditional ml is indicated
as a constant
is that it can be considered a in an an equation. It's still basically the
sigma squared term.
Robert A. Yaffee, Ph.D.
Shirley M. Ehrenkranz
School of Social Work
New York University
2100 Linwood Ave.
Fort Lee, NJ
----- Original Message -----
From: Olga Gorbachev Melloni <email@example.com>
Date: Thursday, August 24, 2006 1:31 pm
Subject: st: what is SIGMA2 _const in arima
> I am trying to estimate a model, in which errors follow an MA(1). I
> 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
> of the white-noise disturbance epsilon it showed instead of the
> '/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?
> thank you,
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