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From |
kristian@hefting.dk |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Disabling Kalman filter in arima |

Date |
Fri, 17 Sep 2010 09:39:22 +0200 |

Hi Robert and everybody else Thanks for your answer. As I wrote to Maarten 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). > Kristian, > You would do better to temporarily recode your missing values as zero > yourself, > while maintaining a missing value vector to tell you which ones are > actually missing. > -Regards, > Robert > > Robert A. Yaffee, Ph.D. > Research Professor > Silver School of Social Work > New York University > > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf > > CV: http://homepages.nyu.edu/~ray1/vita.pdf > > ----- Original Message ----- > From: kristian@hefting.dk > Date: Thursday, September 16, 2010 6:13 am > Subject: st: Disabling Kalman filter in arima > To: statalist@hsphsun2.harvard.edu > > >> Hi all >> >> 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? >> >> Regards >> Kristian Hefting >> >> * >> * 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/ > * > * 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/ > * * 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/

**Follow-Ups**:**Re: st: Disabling Kalman filter in arima***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**References**:**st: Disabling Kalman filter in arima***From:*kristian@hefting.dk

**Re: st: Disabling Kalman filter in arima***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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