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st: forecasting y from a differenced arima model


From   Morning Jamba <morningjamba@hotmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: forecasting y from a differenced arima model
Date   Fri, 7 Oct 2011 08:14:22 -0700

I have 2 years of daily time series data.
 

I want a 31 day forecast, so I:
.tsappend, add(31)
 

I have observations for my iv1 that extend into this forecast period.
 
My problem, through way of a contrived illustration:
After estimating the following two models--
 
.arima depvar , arima (1,0,0)
.arima depvariv1 , arima (1,0,0)
 
--I can create dynamic forecasts in terms of the original depvar data units using
predict y,y
 
However predict y,y will not predict beyond one day when I have a differencing term:
.arima depvar, arima (1,1,0)
.arima depvar iv1 , arima (1,1,0)
 

What is the limitation I am encountering? Is there a way to predict the full 31 day period in a differenced ARIMAX model.
Don't think this is a methodological issue as it seems that if it is capable of predicting one day out, it should be able to predict 2, 3, or 31 days out as well. Im thinking I am missing some step to transform the stationary/differenced units estimated in the model back into the original units. I thought that predict y,y was supposed to handle this translation.
 

Thanks in advance for any help!
Brian  		 	   		  
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