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Re: st: Trouble using -nl-


From   Nick Cox <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Trouble using -nl-
Date   Sat, 2 Nov 2013 11:46:19 +0000

You don't define all the terms here, but it appears that you have a
fitted model and want to use it for projection into the future. It
appears that you want to add noise to deterministic predictions too.
-nl- doesn't support any of that. Your problem needs customised code.
Nick
[email protected]


On 2 November 2013 09:51, Ingrid Johnsen <[email protected]> wrote:
> Hi
>
> I have trouble using -nl- .
> I am using Stata 12 for Windows.
>
> I have model consisting of three equations.
>
> I  : y_t = a0 + a1*x_t
> II : y_t = b0 + b1*y_(t-1) + sigma*e_t
> III: sigma^2 = c0 + c1*cos(2*3.14* z /365)
>
> y is the dependent variable, x and z are the undependent variables.
> I have estimated the parameter values, a0=7.68, a1=-0.00019, b0=-0.0013,
> b1=0.79, c0=3.91, and c1=1.72.
> I want to combine the equations into one, and make a prognosis by using the
> fitted parameters.
>
> I think I should use -nl- to combine the equations.
> But I don't understand how I can include equation III, since it is a
> function modeling the residuals in equation II.
>
> --
> Best regards
> Ingrid Johnsen
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