Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: -arima- vs. -sspace-


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: -arima- vs. -sspace-
Date   Fri, 23 Mar 2012 16:55:54 -0400

Dear Statalist:

I have been fitting arima models using the state space representation
and the -sspace- command instead of using -arima-. I am doing this
because I need the filtered state estimates for other purposes. I have
found that in some cases, -arima- achieves convergence while -sspace-
does not, even using the same optimization technique. See an example
below for an ARIMA(2,0,0). I have a couple of questions.

1. Why does this happen? I know that -arima- has its own
implementation of the Kalman Filter coded in the Stata matrix
language, while sspace is coded in mata and uses the mata optimization
routines. Can anyone point out the differences between the two
implementations? I would expect that a model that converges using
-arima-, would also converge using the -sspace- routines that are much
more up to date.
2. How do I get -sspace- to achieve the same results as -arima-?

Regards,

Jorge Eduardo Pérez Pérez.

--------------------------------------------
clear
* Input database
input dlym
.0076563
.0095813
.007427
.005337
.0038745
.0051258
.003782
.0024631
.0040767
.0053647
.003978
.0026186
-.0058362
-.0064847
-.0058587
-.0052264
-.0004542
-.0000188
-.0004647
-.0009081
.0058043
.0074041
.0056493
.0039375
.0035965
.0047967
.0035117
.002249
.0009463
.001651
.0009181
.0001924
-.0060084
-.0066926
-.0060337
-.0053675
-.0161679
-.0191143
-.0165818
-.0139391
-.0002768
.0001929
-.0002892
-.0007679
.000582
.0012176
.0005591
-.0000923
.0030711
.0041749
.0029995
.0018442
end
* Declare time series
gen t=_n
tsset t
* Estimate arima
arima dlym, arima(2,0,0) nocons

*Estimate via sspace
constraint 1 [dy]e.dy=1
constraint 2 [dlym]dy=1
constraint 3 [et]e.dy=1
constraint 4 [ldy]l.dy=1

sspace (dy l.dy l.ldy e.dy, state noconstant)  (ldy l.dy, state
noconstant ) (et e.dy, state noconstant) (dlym dy, noconstant) ///
, covstate(diagonal)  constraints(1/4) tech(bhhh 4 bfgs)


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index