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st: Re: ARMA(1,1) with multiple panels
If your series is really ARIMA(p,d,.q) with d=1, then you should not
be trying to fit an ARIMA(p,0,q) model to the series. You should fit
the ARMA(p,q) model to the first differences of the series.
Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:
On Aug 23, 2006, at 2:33 AM, statalist-digest wrote:
However, I understand that conditional MLE is inappropriate for a
nonstationary series, so that it would not be a good idea to use the
"condition" option. If my series is nonstationary, what alternatives
would I have for estimating an ARMA(1,1) with multiple panels?
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