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From | "Dimitriy V. Masterov" <dvmaster@gmail.com> |
To | Statalist <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: ucm with daily data |
Date | Wed, 26 Jun 2013 09:45:19 -0700 |
Sergiy, Sorry for the confusion. UCM stands for unobserved components model. It decomposes a time series into trend, seasonality, an idiosyncratic component, and up to 3 cycle(s) using a Kaman filter state space approach with the parameter estimated by MLE. It's a native Stata command, like ARIMA, and it allows for exogenous variables. I think UCM is standard terminology for this sort of structural time series model. For instance, SAS has a proc ucm. Seasonality is specified as an option: ucm bi, seasonal(365) The number in the parentheses is the period of the season (the number of time-series observations required for the period to complete). Stata complains that 365 exceeds 52, but I can't find this limitation detailed anywhere. I have daily data, so weekly seasonality seems like a tight constraint. The exact error messages is: seasonal(365) exceeds 52; this is not allowed r(459); DVM On Wed, Jun 26, 2013 at 6:44 AM, Sergiy Radyakin <serjradyakin@gmail.com> wrote: > Dimitriy, once you tell us what UCM is and what command you are > running, it would be possible to look at the source and see whether > the constraint is serious and necessary for the program to work, or > just a safety constraint that can be relaxed by modifying the > threshold value.Sergiy > > On Tue, Jun 25, 2013 at 11:19 PM, Dimitriy V. Masterov > <dvmaster@gmail.com> wrote: >> I am trying to fit a UCM with a daily time series. Seasonal(365) >> throws a r(459) error, and tells me not to exceed 52. This limitation >> is not described anywhere. >> >> Any ideas on how to deal with this problem? >> >> DVM >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/