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Re: st: ucm with daily data


From   Sergiy Radyakin <serjradyakin@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: ucm with daily data
Date   Wed, 26 Jun 2013 15:22:48 -0400

Dimitriy,

the check against 52 is implemented around line 203 in ucm.ado. This
looks to me like an artificial safety measure. The rest of the program
refers to 365, so it might work if you simply disable the check. You
may encounter another problem later on then (and whether you encounter
it immediately or later might be data dependent), plus your program
will not work on other computers with Stata since they will contain
the original version of ucm.ado.

ucm.ado is by StataCorp. You will need to consult with them whether
there is anything (technical or legal) that can prevent you from doing
such modifications. They might also shed some light onto why the
condition is there in the first place.

Best,
   Sergiy Radyakin




On Wed, Jun 26, 2013 at 12:45 PM, Dimitriy V. Masterov
<dvmaster@gmail.com> wrote:
> 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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