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Re: st: Disabling Kalman filter in arima


From   kristian@hefting.dk
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Disabling Kalman filter in arima
Date   Thu, 16 Sep 2010 15:35:55 +0200

Hi Maarten and everybody else

Thanks for your answer. I should have been more specific. My problem is in
the start of the dataset with e.g. a MA(1)-model:

Y(t)=B0+B1*u(t-1)+u(t),             where u(t)=Y(t)-predicted Y(t)

If I estimate this model I obtain some estimates for B0 and B1. If I want
to obtain a predicted value for the first value of Y in my dataset - Y(0)
- I need some value for u(0-1). I would prefer to put u(0-1)=0 (both when
I estimate the equation and when I later use it for predictions) but Stata
does it different. It assigns some value to u(0-1) (even though Y(0-1) and
predicted Y(0-1) is unobserved) and my guess is that it uses the Kalman
filter to obtain this value. Because of this I want to turn of the Kalman
filter (or anything that would make Stata set u(0-1)=0 during estimation
and prediction).

Hope somebody can help!

> --- On Thu, 16/9/10, kristian@hefting.dk 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
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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