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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 14:40:43 -0400

First, thank you very much for explaining what sigma2 _const means (it would have been great if STATA actually mentioned it in the manual with applicable equations...).

I am sorry for being persistant, but what do you mean by your suggestion? "If you want to predict with a covariate, you first have to forecast the covariate into the forecast horizon, over which
you'll forecast your y variable. The y variable will have missing values. You can then forecast over that horizon with the y variable."

What I understand from it is:

I can construct y_hat using the coefficients from the regression, then I can predict u_hat=y-y_hat
then since I know coefficient on MA1, I can constract epsilons, assuming that u_hat_minyear=epsilon_minyear, or that epsilon_beforeminyear=0

Is that what you meant?

Thank you in advance,

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



I am sorry


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 14:11:42 -0400

Olga,
  If you want to predict with a covariate, you first have to
forecast the covariate into the forecast horizon, over which
you'll forecast your y variable.  The y variable will have
missing values.  You can then forecast over that horizon with
the y variable.
   - 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 1:59 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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