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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   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
>>
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