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Re: st: Disabling Kalman filter in arima

From   Maarten buis <>
Subject   Re: st: Disabling Kalman filter in arima
Date   Thu, 16 Sep 2010 10:46:58 +0000 (GMT)

--- On Thu, 16/9/10, wrote:
> Stata uses a Kalman filter to replace missing/unobserved
> data when fitting an arima model. Is there any way to
> disable this filter so the missing/unobserved data is
> treated as zeros?

As you can see in the example below -arima- just drops
observations with missing values, rather than replace
their values (look at the number of observations used). 
That is the default for (almost) all Stata programs.

*--------- begin example -----------
webuse wpi1, clear
arima wpi, arima(1,1,1)
replace wpi = . in 10
arima wpi, arima(1,1,1)
*--------- end example -------------

Replacing missing values manually with a fixed value is
usualy very bad practice, unless you have information that
a missing value is just an odd way that your data collectors
used for storing a 0. In that case you can just correct 
your data by typing:

replace <variable_name> = 0 if <variable_name> == .

Otherwise I would just stick with the Stata default.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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