Re: st: what is SIGMA2 _const in arima

["Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>]

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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