Olga,
When I spoke to Dave Drukker about this, he said that the reason that
the sigma squared term in the arima with the conditional ml is indicated
as a constant
is that it can be considered a in an an equation. It's still basically the
sigma squared term.
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: Olga Gorbachev Melloni <[email protected]>
Date: Thursday, August 24, 2006 1:31 pm
Subject: st: what is SIGMA2 _const in arima
> Hi,
> I am trying to estimate a model, in which errors follow an MA(1). I
> have
> panel data, and I assume that for each cohort, coefficients are the
> same. I
> ran:
>
> arima y x if cohort==1935, ma(1) condition
>
> I have two questions:
>
> 1. when the estimation finished its run, it used BFGS and for the
> estimate
> of the white-noise disturbance epsilon it showed instead of the
> usual
> '/sigma', I got SIGMA2 _const =0.10...
>
> what does this mean? I looked in the manual, but there is no
> mention of
> this.
>
> 2. When trying to predict the errors or the predicted values, I got
> an error
> message saying that the sample cannot include panels.
>
> Is there a way to get the predicted values and/or white-noise errors?
>
> thank you,
> olga
>
>
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