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st: ARMA forecasting


From   da2147@columbia.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: ARMA forecasting
Date   Sun, 25 Feb 2007 19:00:02 -0500

Hello all

I'm trying to fit some ARMA models to some time-series data I have
and trying to make one-step-ahead forecasts with the following
commands:

arima x, arima(1,0,0) //a simple AR(1) model
predict xhat, xb

Suppose the constant is estimated to be .4 and the autoregressive
parameter is estimated to be .25; now I want to calculate
one-step-ahead predictions and thats what I think I'm using the
<predict> command for. However, the <xhat> I get by using the
<predict> command doesnt tie in with my notion of what the
predicted values should be. For example, (from my limited knowledge
of time series), I think

E(x1 | x0) should just be = .4
E(x2 | x1, x0) should be = .4 + (.25*x1)
E(x3 | x2, x1, x0) should be = .4 + (.25*x2) and so on

(Note: these are just in-sample one-step-ahead forecasts. My actual
time series is 40 observations long and the parameter estimates
given above are for AR estimation done on the entire 40
observations.)

However, the stata outputs for <xhat> using the predict command dont
match up with the above.

I'm quite puzzled about this. Any help would be much appreciated.

Thanks
divya




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