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st: RE: Number of observations with ARMA models


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Number of observations with ARMA models
Date   Mon, 16 Jan 2012 18:40:17 +0000

On your first question, it is a case of which way round you think of it. The opposite argument is that L.outcome for the second observation is for the first observation, so all observations are used. 

Your second question has no easy answer that I can see, because of the two different perspectives on the first. If this were my problem, I would fit each model to the largest amount of data possible. 

Nick 
n.j.cox@durham.ac.uk 

From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steven Trypsteen

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?

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