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st: Re: ARMA(1,1) with multiple panels


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: ARMA(1,1) with multiple panels
Date   Sat, 26 Aug 2006 16:16:05 -0400

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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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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