Re: st: Small Stata for teaching

["Brian P. Poi" <bpoi@stata.com>]

> On Tue, 14 Aug 2007, Paulo Guimaraes wrote:
>
> > The course I am teaching is on economic forecasting. I am using the book
> > "Elements of Forecasting" by F. Diebold and contrary to the examples on the 
> > book (which are on Eviews) I decided to use Stata. Unfortunately, I am 
> > finding out that the students can not replicate some of the examples on the 
> > book because of the restrictions on Small Stata. For example, they are 
> > unable to estimate an ARMAX with 12 seasonal variables using 400 
> > observations.
> On Tue, 14 Aug 2007, Brian P. Poi wrote:
> We fully intend for Small Stata to be able to run most examples that are 
> encountered in textbooks; an ARMAX model with 12 variables should be within 
> the grasp of Small Stata.
> I will also report back to statalist once we arrive at a solution.

The solution to Paulo's problem of fitting ARMAX models with Small Stata 
is to specify "technique(bfgs)" or "technique(nr)" with the -arima- 
command.

By default -arima- and -arch- use the Berndt-Hall-Hall-Hausman (BHHH) 
optimization technique, and because of the way the likelihood evaluators 
for -arima- and -arch- are implemented, Stata needs to generate a 
double-precision temporary variable for each parameter in the model.  In 
Paulo's model there were 18 parameters, and together with the original 
dataset and a couple of other temporary variables being created, Paulo was 
bumping up against Small Stata's maximum width of 200 bytes for each 
observation.

The BFGS and Newton-Raphson methods do not require the creation of score
variables for each parameter, so the observation width limit does not come
into play.

   -- Brian Poi
   -- bpoi@stata.com
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