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RE: st: ARMA(1,1) with Multiple Panels
Nick
[email protected]
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]On Behalf Of Nick Cox
> Sent: 23 August 2006 13:24
> To: [email protected]
> Subject: RE: st: ARMA(1,1) with Multiple Panels
>
>
> If your series is nonstationary, why do you think ARMA(1,1)
> is a plausible model? Am I missing something?
>
> Nick
> [email protected]
>
> Alexander Gelber wrote
>
> > Thank you, this was quite helpful.
> >
> > However, I understand that conditional MLE is inappropriate for a
> > nonstationary series, so that it would not be a good idea to use the
> > "condition" option. If my series is nonstationary, what
> alternatives
> > would I have for estimating an ARMA(1,1) with multiple panels?
> >
> > Best,
> >
> > Alex
> >
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