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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 14:14:50 -0400

Olga,
  Part of my last message did not get through.
That const under the sigma squared is that it can
be deemed as such though it is still the residual
variance.
  - RY

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 1:59 pm
Subject: Re: st: what is SIGMA2 _const in arima

> 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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