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From | Christopher Baum <kit.baum@bc.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | re: st: ARIMA estimation with lagged y |
Date | Mon, 27 Aug 2012 20:47:51 +0000 |
<> KiDeuk said 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? No. You have estimated the model y_t = 0.99 y_t-1 + e_t - 0.628 e_t-1 -0.290 e_t-2 although I expect if you reproduced your full output, it would also contain a _cons and an estimate of /sigma. As the estimated coefficient on the LDV is essentially unity, I would expect that differencing the series would be a good idea to avoid nonstationarity problems. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/