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Re: st: RE: xtmixed predictions w/AR or MA errors


From   "L. Hamilton" <lawrence.hamilton@unh.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtmixed predictions w/AR or MA errors
Date   Sun, 14 Mar 2010 17:08:20 -0400 (EDT)

On Sun, 14 Mar 2010, Martin Weiss wrote:
Just out of curiosity: What do you want Stata to do about the AR/MA terms?
How would you ideally incorporate them into a prediction of yhat?

In the case of a model with AR(1) residuals, for example, I'm
interested in graphing time plots for each panel showing observed
y together with predicted y values from fixed effects, plus
predicted random effects, plus rho*e[t-1].

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of L. Hamilton
Sent: Sonntag, 14. März 2010 19:49
To: statalist@hsphsun2.harvard.edu
Subject: st: xtmixed predictions w/AR or MA errors

Is there a straightforward way to calculate predicted values after
xtmixed with AR or MA residuals?  It does not appear that

. predict yhat, fitted

makes use of the AR or MA terms.  I can generate yhat "by hand"
but was hoping for a more general solution.
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--
******************************************************************
Lawrence C. Hamilton
Professor
Department of Sociology
University of New Hampshire
Durham, NH  03824       USA

tel:	1-603-862-1859
fax:	1-603-862-3558
email:	Lawrence.Hamilton@unh.edu
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