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Re: RE: st: ARIMA model errors


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: ARIMA model errors
Date   Thu, 08 Oct 2009 11:05:42 -0400

Tom,
   Your syntax looks fine but why are you using the dynamic option?
I would prefer the one-step ahead, as the forecast errors are not
so large.
  - 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 10:59 am
Subject: RE: st: ARIMA model errors
To: statalist@hsphsun2.harvard.edu


> 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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