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Re: st: Nonlinear ARMAX model


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nonlinear ARMAX model
Date   Tue, 9 Mar 2010 23:13:23 +0530

I don't think you can specify MA terms like you seem to want in your
1st email (you will need to approximate it using AR terms) and I am
not sure what [AR(1)=b2] means; here I will simply assume that it is
the coefficient on the AR(1) term. If not, please let me know. Here is
how the rest of the example from your 2nd email would be reproduced in
Stata:
 ************************
webuse friedman2, clear
g lcons = log(consump)
nl (lcons = {b0} + m2^{b1} + {b2}*L.lcons  ) ///
       if !missing(L.lcons, m2), vce(robust)
************************

T

2010/3/9 Sebastian van Baal <s.vanbaal@arcor.de>:
> Small mistake: In Eviews, I would enter something like
>
> y[t]=b0+x[t]^b1+[AR(1)=b2]
>
> and not
>
> y[t]=b0+x[t]^b1+u[t]+[AR(1)=b2]
>
> like I wrote before.
>
> Sebastian
>
> *
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>



-- 
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).

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