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Re: st: what is SIGMA2 _const in arima
First, thank you very much for explaining what sigma2 _const means (it would
have been great if STATA actually mentioned it in the manual with applicable
equations...).
I am sorry for being persistant, but what do you mean by your suggestion?
"If you want to predict with a covariate, you first have to forecast the
covariate into the forecast horizon, over which
you'll forecast your y variable. The y variable will have missing values.
You can then forecast over that horizon with the y variable."
What I understand from it is:
I can construct y_hat using the coefficients from the regression, then I can
predict u_hat=y-y_hat
then since I know coefficient on MA1, I can constract epsilons, assuming
that u_hat_minyear=epsilon_minyear, or that epsilon_beforeminyear=0
Is that what you meant?
Thank you in advance,
Olga Gorbachev Melloni
Ph.D. student in Economics at Columbia University
(212)866-6091
502 W122 Street, apt. 62
NY, NY 10027
I am sorry
From: Robert A Yaffee <[email protected]>
Reply-To: [email protected]
To: [email protected]
Subject: Re: st: what is SIGMA2 _const in arima
Date: Thu, 24 Aug 2006 14:11:42 -0400
Olga,
If you want to predict with a covariate, you first have to
forecast the covariate into the forecast horizon, over which
you'll forecast your y variable. The y variable will have
missing values. You can then forecast over that horizon with
the y variable.
- 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 1:59 pm
Subject: Re: st: what is SIGMA2 _const in arima
> Unfortunately your suggestion (predict x, xb) doesn't work, since
> as I
> mentioned, I am using
>
> arima y x if cohort==1935, ma(2) condition
>
> specifying `condition' takes care of the fact that I have a panel,
> meaning
> repeated observations for each year of data. but when using
> predict x, xb
> after that regression doesn't work, (I tried it already) and adding
> to it
> predict x, xb condition doesn't either.
>
> Any ideas what will work?
>
>
>
> Olga Gorbachev Melloni
> Ph.D. student in Economics at Columbia University
> (212)866-6091
> 502 W122 Street, apt. 62
> NY, NY 10027
>
>
>
>
>
> >From: Robert A Yaffee <[email protected]>
> >Reply-To: [email protected]
> >To: [email protected]
> >Subject: Re: st: what is SIGMA2 _const in arima
> >Date: Thu, 24 Aug 2006 13:52:25 -0400
> >
> >Olga,
> > To obtain the errors, after running the ARIMA, you type:
> >predict error, resid
> > To obtain the predicted values in an ARIMA, after running
> >the ARIMA you type:
> > predict pred
> >
> > 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
> > >
> > >
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> > >
> >*
> >* For searches and help try:
> >* http://www.stata.com/support/faqs/res/findit.html
> >* http://www.stata.com/support/statalist/faq
> >* http://www.ats.ucla.edu/stat/stata/
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/