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st: Predict after arima, forecasting how to??


From   "A K Gupta" <ashwani_k_gupta@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Predict after arima, forecasting how to??
Date   Wed, 11 Oct 2006 17:48:09 -0400

Hello,
 
I am working with 2 time series X and Y.  I have smoothed both series
and this has automatically filled in time series gaps.
 
After exploratory analysis I have found D.X and D.Y to be stationary.  
 
Also my hypothesis is that Y lags behind X by a variable time period
most often 21 to  42 days.  I have found this to be true by visual
inspection of L(21/42).X vs. Y.  Also the cross-correlelograms comfirm
this.
 
I am now experimenting with fitting arima(1,0,1) models to D.Y and D.X.

 
I am using predict, y to get predictions for the non diffrenced series.
 
Can someone tell me how I can obtain forecasts for 14 day intervals, not
one step forecasts?  
 
IS there any other flaw in the methodology used above.
 
Thanks
 
A K Gupta, MD MPH

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