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Re: st: what is SIGMA2 _const in arima


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: what is SIGMA2 _const in arima
Date   Thu, 24 Aug 2006 14:09:59 -0400

Olga,
  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.
   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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