Well, for some models I find that it won't generate values beyond the
next observation even after tsappend unless I add the dynamic option.
Also, in the example I gave below, there is an added variable "diff2"
that is included in the model. Is this an issue? Still don't know how
to generate error estimates after either method.
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Robert A
Yaffee
Sent: Thursday, October 08, 2009 10:06 AM
To: [email protected]
Subject: Re: RE: st: ARIMA model errors
Tom,
Your syntax looks fine but why are you using the dynamic option?
I would prefer the one-step ahead, as the forecast errors are not so
large.
- Bob
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: "Erlinger, Thomas P." <[email protected]>
Date: Thursday, October 8, 2009 10:59 am
Subject: RE: st: ARIMA model errors
To: [email protected]
> this is what I run after a tsappend and it generates undifferenced
> values. Is this incorrect?
>
> arima s365.encounters in 2740/3568, ar(1 6) ma(1) predict yhat1 in
> 2740/3573, y predict res1 in 2740/3573, yres
>
> arima s365.encounters diff2 in 2738/3568, ar(1 6) ma(1) predict yhat5
> in 2740/3573, dynamic(d(08oct2009)) y predict res5 in 2740/3573, yres
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Robert A
> Yaffee
> Sent: Thursday, October 08, 2009 9:52 AM
> To: [email protected]
> Subject: Re: st: ARIMA model errors
>
> Tom,
> When I test the y option with a differenced series, it does not
> generate an undifferenced forecast.
> Bob
>
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>
> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: "Erlinger, Thomas P." <[email protected]>
> Date: Thursday, October 8, 2009 10:37 am
> Subject: st: ARIMA model errors
> To: [email protected]
>
>
> > Is there a way to get error, prediction interval, confidence
intervals
> > from ARIMA forecasts of differenced data? Using the "y" option
gets
> > predictions and residuals, but I can't figure out how to get the
> other.
> >
> > Any help appreciated.
> >
> > Tate
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
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