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st: RE: FW: Predict after arima, forecasting how to??


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: FW: Predict after arima, forecasting how to??
Date   Thu, 12 Oct 2006 13:15:39 +0100

These questions are addressed by Dr Gupta at Clive Nicholas. 

The last is easy and I'll peel it off. 

The time series capabilities of Stata are well documented in the 
[TS] manual. If that is not accessible, -help time- gives an 
easy lead in to what is available in official Stata. If the menu
does not appeal, use -search- or -findit- to locate user-written
add-ons. 

Nick 
n.j.cox@durham.ac.uk 

A K Gupta, MD MPH 

> Thanks Nicolas
> 
> Your input has helped clarify many of my doubts.  I still have another
> query though.  
> 
> Even if I fit arima X Y, arima(1,1,1)  the predict, xb option produces
> forecasts for the differenced series.  Isn't that correct?  I am
> interested in forecasts for the undifferenced series.  
> 
> How can I obtain dynamic forecasts for the undifferenced series?
> 
> Also as a side is it possible to fit other models such as state space
> models/distributed time lag models in stata?

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