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RE: st: ARMA(1,1) with Multiple Panels
This line is offered for sacrifice.
Nick
[email protected]
> -----Original Message-----
> From: Nick Cox
> Sent: 23 August 2006 13:27
> To: '[email protected]'
> Subject: RE: st: ARMA(1,1) with Multiple Panels
>
>
> Correction: processes, not series, are nonstationary.
>
> 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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