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Re: st: Nonlinear ARMAX model


From   "Sebastian van Baal" <s.vanbaal@arcor.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Nonlinear ARMAX model
Date   Mon, 8 Mar 2010 09:55:41 +0100

Dear Robert: 
 
Thank you for your explanations! I was thinking more general and perhaps my
nomenclature was problematic. The econometric software Eviews is able to
estimate "nonlinear models with AR and SAR specifications" (quote from the
feature list). This works since Eviews allows the user to enter the complete
regression equation (much like Stata's nl-command) including AR-terms. So my
question boils down to this: Is there a command in Stata that allows me to
a) enter the explicit regression equation and b) specify AR-terms? (MA-terms
would be interesting as well, but I don't need them in this case and Eviews
can't incorporate them into a nonlinear model either.) 

Best regards 
Sebastian

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