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From |
Oliver Jones <ojones@wiwi.uni-bielefeld.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Is the formula of the tssmooth exponential command wrong? |

Date |
Mon, 06 Sep 2010 17:37:43 +0200 |

Dear list members, regarding the Time Series Manual (page 336) the formula of the exponential smoother is S_t = alpha * X_t + (1-alpha) * S_{t-1}, where X_t represents the original data. Is this equation correct? Or must it use X_{t-1} instead of X_t?

************* begin example ************** clear set obs 4 local alpha = 0.2 local s_initial = 1 gen time = _n gen x = _n*5 tsset time tssmooth exponential s = x, replace s0(`s_initial') parm(`alpha') list gen s_manual = . replace s_manual = `s_initial' in 1 forvalues i = 2/4 { local past = `i' - 1 replace s_manual = `alpha'*x[`i'] + (1-`alpha')*s_manual[`past'] in `i' } list ************* end example ************** Kind regards, Oliver -- Universität Bielefeld Fakultät für Wirtschaftswissenschaften Lehrstuhl für Ökonometrie und Statistik - - - Bielefeld University Department of Business Administration and Economics Chair of Econometrics and Statistics - - - Raum / room: V9-110 -- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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