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


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   Thu, 09 Sep 2010 09:57:47 +0200

Just in case some newbie has the same question like I had, here is the answer:

The formula is of course correct!

I just did not understand correctly what the newvar, produced by -tssmooth exponential-, was.
It is the predicted values of the time series at hand and NOT the smoothed series!

Referring to the notation of the Time Series Manual, newvar = S_{t-1}. Where S denotes the smoothed series.

Best,
Oliver
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