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Re: st: ARIMA postestimation/ Dynamic forecasting with AR(12)model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ARIMA postestimation/ Dynamic forecasting with AR(12)model
Date   Thu, 31 May 2007 05:26:03 -0400

Michael,
  You should test your series with a dfgls test to see whether it is in need
of differencing.  If so, you'll have to difference the serries before undertaking
the modeling.
   Regards,
          Robert Yaffee

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
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Michael Crain <michaelcrain@hotmail.com>
Date: Wednesday, May 30, 2007 7:10 pm
Subject: st: ARIMA postestimation/ Dynamic forecasting with AR(12) model
To: statalist@hsphsun2.harvard.edu


> I am having trouble with the syntax with the postestimation of an 
> AR(12) 
> model (using monthly data).
> 
> My various data sets (balanced and unbalanced) look like this:
> 
> Sales_amt           Yr_mo
> $xxxxx                2002m1
> $xxxxx                2002m2
> $xxxxx                2002m3
> ....                       ...
> $xxxx                  2005m10
> 
> My AR(12) model runs through 2004m8 (not 2005m10).  I want to predict 
> what 
> Sales_amt would have been starting 2004m9 using Dynamic forecasting.  
> 
> Accordingly, I have done the following:
> 
> 
> -- arima  sales if tin( , 2004m8), ar(12) --
> 
> (output ommitted)
> 
> I am having trouble with the syntax for the Dynamic forecasting.  I 
> want the 
> dynamic forecasting to begin with the forecast for 2004m9.  I tried 
> the 
> following syntax but it did not work as the results were nonsensical:
> 
> -- predict saleshatdy, dynamic(m(2004m8)) y --
> 
> The nonsynsical results were:
> 
> sales	yr_mo	saleshatdy
> 8335.21	2002m1	812.2243
> 11773.63	2002m2	812.2243
> 13615.85	2002m3	812.2243
> 6669.48	2002m4	812.2243
> 7144.34	2002m5	812.2243
> 6052.71	2002m6	812.2243
> 5556.54	2002m7	812.2243
> 6330.65	2002m8	812.2243
> 3391.77	2002m9	812.2243
> 4546.76	2002m10	812.2243
> 5290.41	2002m11	812.2243
> 5745.89	2002m12	812.2243
> 6149.88	2003m1	1063.088
> 11435.43	2003m2	361.4133
> 10813.48	2003m3	401.9798
> 8201.24	2003m4	966.1082
> 6670.49	2003m5	993.3638
> 6884.43	2003m6	917.3016
> 3662.71	2003m7	881.8058
> 9301.96	2003m8	940.1202
> 4651.49	2003m9	684.044
> 8462.30	2003m10	798.1374
> 8384.00	2003m11	864.058
> 8367.59	2003m12	895.7506
> 9300.54	2004m1	926.8094
> 11379.53	2004m2	349.3701
> 11794.66	2004m3	332.2561
> 10372.96	2004m4	1058.651
> 6026.79	2004m5	966.7421
> 5919.31	2004m6	978.1514
> 7074.07	2004m7	709.3981
> 4652.76	2004m8	1103.654
> 1253.90	2004m9	803.2082
> 6906.79	2004m10	1069.426
> 4061.47	2004m11	1065.623
> 7766.54	2004m12	1064.355
> 8382.98	2005m1	1103.02
> 12928.70	2005m2	346.8347
> 10155.60	2005m3	362.681
> 8504.59	2005m4	320.2129
> 8116.69	2005m5	914.1323
> 3983.16	2005m6	905.8923
> 4829.42	2005m7	991.4623
> 3219.39	2005m8	996.9477
> 4668.28	2005m9	806.5094
> 5054.59	2005m10	975.2522
> 
> (The 812.2243 for the first 12 observations is the constant in the 
> model.  
> The other saleshat amounts are nonsensical.)
> 
> Again the above example is for an AR(12) model.  In addition to 
> dynamic 
> forecasting for an AR(12) model, I am also using dynamic forecasting 
> for the 
> following models:
> AR(1)
> AR(1) with differencing
> AR(12) with differencing
> 
> I would appreciate help on the dynamic forecasting syntax as discussed 
> 
> above.
> 
> Thanks in advance.
> 
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