Dear Clarence,
You could try setting the matsize to 800.
- Bob Yaffee
Robert A. Yaffee, Ph.D.
Senior Research/Statistical Consultant
Statistics and Social Science Group
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New York University
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----- Original Message -----
From: Clarence Tam <[email protected]>
Date: Tuesday, April 22, 2003 11:22 am
Subject: st: Help with ARIMA
> Hi,
>
> I've been trying to fit a seasonal ARIMA model to a weekly time
> series, but I'm having some problems. So far I've fitted an ARIMA
> model on the log transformed data with 1 first order differencing,
> 1 seasonal differencing (52 weeks), 1 AR term and 1 MA term (both
> of lag 1). This is the command I used:
>
> . arima DS52.lnreps, ar(1) ma(1) noconstant
>
> where 'lnreps' is the log transformed series. Model diagnostics
> suggest that there's a residual seasonal correlation (at week 52)
> both in the ACF and PACF. My next step was going to be to include
> an additional AR or MA term to account for this, but I'm not sure
> how to do it. I've tried:
>
> . arima DS52.lnreps, ar(1) ma(1 52) noconstant
>
> but Stata says that the matsize is too small, even though it's set
> at the maximum of 800 (I'm using Intercooled Stata 8.0). I'm not
> even sure why it says this as I'm only trying to add one extra
> parameter to the model.
>
> Does anyone have any suggestions on how to get round this problem
> (preferably ones that don't involve upgrading to Stata SE...)?
>
> Many thanks,
>
> C.
>
>
> Clarence Tam
> Infectious Disease Epidemiology Unit
> Department of Infectious & Tropical Diseases
> London School of Hygiene & Tropical Medicine
> Keppel Street
> LONDON WC1E 7HT
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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