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Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict


From   Richard Herron <richard.c.herron@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict
Date   Sun, 11 Sep 2011 11:47:45 -0400

Thanks, Robson. Eventually Google helped me find the right command to
add observations.

tsappend, last(2000q4) tsfmt(tq)

I think the zeros are due to significant figures, because if I omit
_noconstant_ in the ARIMA model I can predictions of 3.53E-6.

I am still interested in a better approach to the seasonality adjustments.

* begin code
webuse friedman2, clear
generate ld_m1 = log(m1 / L.m1)
generate ld_m1_sa = S4.ld_m1
tsappend, last(2000q4) tsfmt(tq)
arima ld_m1_sa, ar(1) ma(4)
predict pred_ld_m1_sa if tin(1998q4, 2000q4), dynamic(q(1998q3))
* end code
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