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re: st: ARIMA estimation with lagged y

From   Christopher Baum <>
To   "" <>
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 Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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