I am new to STATA's ARIMA/SARIMA commands and am trying to fit a SARIMA
model to a time series of weekly infectious disease incidence, which
displays a strong 52-week periodicity.
I am using the code:
.arima DS52.incidence, ar(1 3) mar(1/2,52) mma(1/1,52)
which I assume is fitting an AR parameter at lags 1 and 3, seasonal AR
parameter at lags 1 and 2 and a seasonal MA parameter at lag 1, with the
series being differenced 2x (1 non-seasonal, 1 seasonal)
When I run this command, STATA has a hard time converging on an
estimate. I have let it run for 45 minutes but it does not converge.
Does this model look correct? if so, is the model sufficiently complex
that estimation just takes this long?
I have aggregated the data to monthly incidence, which makes the command
the same, except substituting the '52' for '12. when I do this, STATA
converges on estimates quite quickly (i.e., 20 seconds). Therefore, it
seems to me the '52' is the problem. any thoughts?
Thanks,
Joe
*
* 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/
