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Re: st: Models ARIMA in STATA and Eviews
On Fri, 21 Sep 2007, Joao Ricardo F. Lima wrote:
Hi,
I have one doubt with models ARMA-ARIMA-SARIMA. When i'm using eviews, i
have one result. When i use Stata, the same model (ex arima y,
arima(2,1,2)), the results are different. Sometimes, very different!
Can help me and explais these differences, please?
Thanks,
Joao Lima
Getting different packages to report identical results when fitting ARIMA
models is a challenge for several reasons. There are several different
estimators available for ARIMA models, including unconditional maximum
likelihood, conditional maximum likelihood, and least squares. Moreover,
the choice of priming values or priors for the Kalman filter recursions
will affect results, as will the choice of initial values used in the
maximization algorithm. Stata's full maximum likelihood results match
those you would obtain using SAS.
In short, there are many variations in how ARIMA models are fit, and
without knowing the implementation details of a package's ARIMA commands,
it is hard to say whether appropriate options can be used with -arima- to
match the other package's results.
A paper by Newbold, Agiakloglou, and Miller (1994, "Adventures with ARIMA
software," Int'l. Journal of Forecasting, vol. 10) addresses some of the
issues that arise when fitting ARIMA models.
-- Brian Poi
-- [email protected]
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