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| From | KiDeuk Kim <kideuk@yahoo.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: ARIMA estimation with lagged y |
| Date | Mon, 27 Aug 2012 13:14:45 -0700 (PDT) |
Dear Statalisters, I am running some time-series models and I haven't been able to understand how exactly Stata estimates my parameters. arima y L1.y , arima(2,0,0) Stata generates estimates for all parameters. But, aren't L1.y and AR(1) the same thing? If not, what do they refer to, and how the estimation is done? y| L1. | .9931215 .0106097 93.60 0.000 .9723268 1.013916 -------------+---------------------------------------------------------------- ARMA | ar | L1. | -.6287463 .0922857 -6.81 0.000 -.809623 -.4478696 L2. | -.2899874 .0828432 -3.50 0.000 -.4523571 -.1276177 Any insights you can offer would be greatly appreciated. KiDeuk * * 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/