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RE: st: ARIMA model errors


From   "Erlinger, Thomas P." <TErlinger@seton.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: ARIMA model errors
Date   Thu, 8 Oct 2009 09:58:23 -0500

this is what I run after a tsappend and it generates undifferenced
values.  Is this incorrect?

arima s365.encounters in 2740/3568, ar(1 6) ma(1)
predict yhat1 in 2740/3573, y
predict res1 in 2740/3573, yres 

arima s365.encounters diff2 in 2738/3568, ar(1 6) ma(1)
predict yhat5 in 2740/3573,  dynamic(d(08oct2009)) y
predict res5 in 2740/3573, yres

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert A
Yaffee
Sent: Thursday, October 08, 2009 9:52 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: ARIMA model errors

Tom,
When I test the y option with a differenced series, it does not generate
an undifferenced forecast. 
    Bob


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: "Erlinger, Thomas P." <TErlinger@seton.org>
Date: Thursday, October 8, 2009 10:37 am
Subject: st: ARIMA model errors
To: statalist@hsphsun2.harvard.edu


> Is there a way to get error, prediction interval, confidence intervals
> from ARIMA forecasts of differenced data?   Using the "y" option gets
> predictions and residuals, but I can't figure out how to get the
other.
> 
> Any help appreciated.
> 
> Tate
> 
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