Joe,
You might wish to try your parameter as mma(1,12).
- R.A.Y.
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
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[email protected]
----- Original Message -----
From: Joe Egger <[email protected]>
Date: Sunday, December 17, 2006 6:37 pm
Subject: st: SARIMA modeling with 9.0
> I am new to STATA's ARIMA/SARIMA commands and am trying to fit a
> SARIMAmodel to a time series of weekly infectious disease
> incidence, which
> displays a strong 52-week periodicity.
>
> I am using the code:
>
> .arima DS52.incidence, ar(1 3) mar(1/2,52) mma(1/1,52)
>
> which I assume is fitting an AR parameter at lags 1 and 3, seasonal AR
> parameter at lags 1 and 2 and a seasonal MA parameter at lag 1,
> with the
> series being differenced 2x (1 non-seasonal, 1 seasonal)
>
> When I run this command, STATA has a hard time converging on an
> estimate. I have let it run for 45 minutes but it does not converge.
> Does this model look correct? if so, is the model sufficiently complex
> that estimation just takes this long?
>
> I have aggregated the data to monthly incidence, which makes the
> commandthe same, except substituting the '52' for '12. when I do
> this, STATA
> converges on estimates quite quickly (i.e., 20 seconds). Therefore, it
> seems to me the '52' is the problem. any thoughts?
>
> Thanks,
> Joe
>
>
>
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>
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