Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Robson Glasscock <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict |

Date |
Sun, 11 Sep 2011 08:40:23 -0400 |

Hi Richard, You may get a better answer, but I hope this is enough to get you started. (1) There are no observations in the data set with time > 1998q3. Set the number of observations to 220 since you are predicting through 2000 Q4. webuse friedman2, clear set obs 220 replace time= tq(1998q3) + _n - 211 if _n > 211 sort time generate ld_m1 = log(m1 / L.m1) generate ld_m1_sa = S4.ld_m1 arima ld_m1_sa, ar(1) ma(4) noconstant predict pred_ld_m1_sa, dynamic(q(1998q4)) Note that if the last line of the above is unchanged and remains as "predict pred_ld_m1_sa if tin(1998q4, 2000q4), dynamic(q(1998q4))", then there are 0's for each prediction. (2) I don't know best, Robson Glasscock On Sat, Sep 10, 2011 at 12:23 PM, Richard Herron <[email protected]> wrote: > I am switching to Stata from R having some difficulties with _predict_ > and seasonal adjustments. > > I generate a stationary series with a log-difference then a seasonal > correction. Next I fit an ARIMA model with which I would like to make > out of sample predictions. > > (1) How do I append my predictions? I don't see an option in _predict_ > and I can't figure out how to add observations. > > (2) How do I undo seasonal adjustment? There is a clunky manual > solution, but it seems that I should use a built-in function or a > better ARIMA model to handle this. > > Thanks! > > * begin code > webuse friedman2, clear > generate ld_m1 = log(m1 / L.m1) > generate ld_m1_sa = S4.ld_m1 > arima ld_m1_sa, ar(1) ma(4) noconstant > predict pred_ld_m1_sa if tin(1998q4, 2000q4), dynamic(q(1998q4)) > * end code > * > * 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: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:

**References**:

- Prev by Date:
**st: biplot for a set of binary variables** - Next by Date:
**Re: st: Trends and Time dummies** - Previous by thread:
**st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict** - Next by thread:
**Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict** - Index(es):