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From |
corn@mail.tu-berlin.de |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: ma(1) model, cannot explain the predicted values |

Date |
Sun, 20 Nov 2011 10:59:41 +0100 |

Hello,

first, I type tsset time (time is my time variable) then I want a ma(1) model, so I type arima SIE, ma(1)

Now, I want to have a look at the values, so I type predict values, xb predict residuen, residuals and the list

The first values of SIE are: 08.10.2002 32.05 09.10.2002 32.42 the predicted values (variable "values") are 08.10.2002 41.72032 09.10.2002 36.88516 and the residuals 08.10.2002 -9.670321 09.10.2002 -4.465162 now I tried to calculate: I thought ma(1) means: y(1) = constant +e(1)+coef.*e(0) = 41.72032 + (-9.670321) + 1*0= 32.05 ok this works, now y(2): y(2) = constant + e(2)+coef.*e(1) so y(2) = 41.72032 + -4.465162 + 1*-9.670321 but this is not 36.88516 ? Please, can you explain, how to get the value 36.88516? I dont see it.... Thanks a lot! * * 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**:**Re: st: ma(1) model, cannot explain the predicted values***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

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