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st: Number of observations with ARMA models


From   Steven Trypsteen <lexsjt@nottingham.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Number of observations with ARMA models
Date   Mon, 16 Jan 2012 18:19:02 +0000

My sample has 600 observations. If I estimate an ARIMA(1,0,0) (using the command: arima), the output says it used 600 observations. I do not understand why it does not report 599 as you lose one observations due to the lagged dependent variable bit. 

I would like to understand this because I would like to use the Log likelihood test (command: lrtest) to determine if two models are equivalent. For example I would like to check if AR(8) is equivalent to AR(2). How should I restrict my sample then to make sure the estimation procedure uses the same number of observations?

Kind regards
Steven Trypsteen
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