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st: ARIMA estimation with lagged y


From   KiDeuk Kim <kideuk@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ARIMA estimation with lagged y
Date   Mon, 27 Aug 2012 13:14:45 -0700 (PDT)

 
 
Dear Statalisters,

I am running some time-series models and I haven't been able to understand how exactly Stata estimates my parameters. 
 
arima y L1.y , arima(2,0,0) 
 
Stata generates estimates for all parameters. But, aren't L1.y and AR(1) the same thing? If not, what do they refer to, and how the estimation is done? 
 
            y|
        
L1. |   .9931215   .0106097   
93.60   0.000     .9723268   
1.013916
-------------+----------------------------------------------------------------
ARMA        
|
         
ar |
        
L1. |  -.6287463   .0922857    -6.81  
0.000     -.809623   -.4478696
        
L2. |  -.2899874   .0828432    -3.50  
0.000    -.4523571   -.1276177
 
Any insights you can offer would be greatly appreciated. 
 
KiDeuk

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