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From |
"Richard Boylan" <rtboylan@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: predict res, after ARIMA |

Date |
Mon, 3 Nov 2008 11:19:28 -0600 |

The STATA manual states that predict res is the predicted innovation epsilon(t). It is also my understanding that it is computed as the residual of the prediction of the model: res(t) = y(t) - E_(t-1) y(t). With finite sample, this is not the same as the forecast at time t of res(t); i.e., E_t res(t) need to equal to y(t) - E_(t-1) y(t). [By E_t, I mean the expectation conditional on the values y(t), y(t-1), ..., y(0).] For instance, is y(t) is MA(1) with no constant, E_t res(t) = E_t y(t+1)/theta which in finite samples is different than y(t) - E_(t-1) y_t. Has anyone programmed E_t res(t)? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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