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st: arima output differs significantly from SPSS & SAS


From   Arash Mahdian <amahdian@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: arima output differs significantly from SPSS & SAS
Date   Tue, 4 Dec 2012 13:56:35 -0600

Using the same timeseries, SAS and SPSS give very similar result, but
arima v1, arima(3,0,3) results significantly different.

What am I doing wrong?



SAS:

proc arima data = ts;
      identify var = v1(0);
      estimate q=3 p=3;
   run;

Estimated Mean: 22.17413

Autoregressive Factors: 1 - 0.87954 B**(1) - 0.8268 B**(2) + 0.81088 B**(3)
Moving Average Factors: Factors: 1 + 0.50825 B**(1) - 0.44647 B**(2) -
0.04756 B**(3)


SPSS:

TSMODEL
   /MODELSUMMARY  PRINT=[MODELFIT]
   /MODELSTATISTICS  DISPLAY=YES MODELFIT=[ SRSQUARE]
   /SERIESPLOT OBSERVED FORECAST
   /OUTPUTFILTER DISPLAY=ALLMODELS
   /AUXILIARY  CILEVEL=95 MAXACFLAGS=24
   /MISSING USERMISSING=EXCLUDE
   /MODEL DEPENDENT=V1
      PREFIX='Model'
   /ARIMA AR=[3,2,1]  DIFF=0  MA=[3,2,1]
      TRANSFORM=NONE  CONSTANT=YES
   /AUTOOUTLIER DETECT=OFF.

ARIMA Model Parameters
Estimate SE t Sig.
V1-Model_1 V1 No Transformation Constant 22.345 .394 56.645 .000
AR Lag 1 .882 .788 1.120 .263
Lag 2 .820 1.423 .576 .565
Lag 3 -.806 .679 -1.187 .236
MA Lag 1 -.504 .788 -.639 .523
Lag 2 .446 .341 1.309 .191
Lag 3 .049 .047 1.024 .306


Stata:

------------------------------------------------------------------------------
             |                 OPG
          v1 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
v1           |
       _cons |   22.83358   1.416263    16.12   0.000     20.05775     25.6094
-------------+----------------------------------------------------------------
ARMA         |
          ar |
         L1. |     2.8964   .0114307   253.39   0.000     2.873996    2.918804
         L2. |  -2.855047   .0221336  -128.99   0.000    -2.898428   -2.811666
         L3. |   .9580439   .0109376    87.59   0.000     .9366066    .9794812
             |
          ma |
         L1. |  -1.629885   .0329863   -49.41   0.000    -1.694537   -1.565233
         L2. |   .4782177   .0559995     8.54   0.000     .3684607    .5879747
         L3. |   .1738528   .0301204     5.77   0.000     .1148179    .2328877
-------------+----------------------------------------------------------------
      /sigma |   1.127603   .0231053    48.80   0.000     1.082318    1.172889
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