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


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: FW: Predict after arima, forecasting how to??
Date   Thu, 12 Oct 2006 13:33:16 +0100 (BST)

Ashwani K Gupta replied:

> 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?

Nick Cox has answered the other question, so I'll answer this one. Quite
simply, don't difference the model! Remember, you're fitting an
ARIMA(p,d,q) model: i.e., with *p* autoregressive lags, differenced *d*
times and with *q* moving averages. To get what you want with an AR1 and
MA1 specification - which you displayed in your earlier post and if it
makes theoretical sense - simply run:

. arima y x1 l.x1 whatever, arima(1,0,1)

and then run -predict, dynamic()- as before.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps

Whereever you go and whatever you do, just remember this. No matter how
many like you, admire you, love you or adore you, the number of people
turning up to your funeral will be largely determined by local weather
conditions.

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