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Re: st: ucm with daily data


From   "Dimitriy V. Masterov" <dvmaster@gmail.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: st: ucm with daily data
Date   Wed, 26 Jun 2013 09:45:19 -0700

Sergiy,

Sorry for the confusion. UCM stands for unobserved components model.
It decomposes a time series into trend, seasonality, an idiosyncratic
component, and up to 3 cycle(s) using a Kaman filter state space
approach with the parameter estimated by MLE. It's a native Stata
command, like ARIMA, and it allows for exogenous variables. I think
UCM is standard terminology for this sort of structural time series
model. For instance, SAS has a proc ucm.

Seasonality is specified as an option: ucm bi, seasonal(365)

The number in the parentheses is the period of the season (the number
of time-series observations required for the period to complete).
Stata complains that 365 exceeds 52, but I can't find this limitation
detailed anywhere. I have daily data, so weekly seasonality seems like
a tight constraint.

The exact error messages is:

seasonal(365) exceeds 52; this is not allowed
r(459);


DVM

On Wed, Jun 26, 2013 at 6:44 AM, Sergiy Radyakin <serjradyakin@gmail.com> wrote:
> Dimitriy, once you tell us what UCM is and what command you are
> running, it would be possible to look at the source and see whether
> the constraint is serious and necessary for the program to work, or
> just a safety constraint that can be relaxed by modifying the
> threshold value.Sergiy
>
> On Tue, Jun 25, 2013 at 11:19 PM, Dimitriy V. Masterov
> <dvmaster@gmail.com> wrote:
>> I am trying to fit a UCM with a daily time series. Seasonal(365)
>> throws a r(459) error, and tells me not to exceed 52. This limitation
>> is not described anywhere.
>>
>> Any ideas on how to deal with this problem?
>>
>> DVM
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