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]

re: st: ARIMA estimation with lagged y


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: ARIMA estimation with lagged y
Date   Mon, 27 Aug 2012 20:47:51 +0000

<>
KiDeuk said

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?


No. You have estimated the model

y_t = 0.99 y_t-1 + e_t - 0.628 e_t-1 -0.290 e_t-2

although I expect if you reproduced your full output, it would also contain a _cons and an estimate of /sigma. 
As the estimated coefficient on the LDV is essentially unity, I would expect that differencing the series would be a good idea to
avoid nonstationarity problems.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


*
*   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