Joe,
Sorry, that should be a 52 if its weekly data. You might not need a
constant with the differencing, so the noconstant option should be used.
But the mma parameter should be mma(1,52).
Also, the robust option might be good if your series is somewhat
heteroskedastic.
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: Joe Egger <[email protected]>
Date: Sunday, December 17, 2006 9:27 pm
Subject: Re: st: SARIMA modeling with 9.0
> Thanks very much, Dr. Yaffee.
> So I should code my parameter mma(1,12) eventhough it is weekly
> data and
> the seasonal correlation occurs at 52 weeks?
>
> best,
> Joe
>
>
> >>> Robert A Yaffee <[email protected]> 12/17/06 9:17 PM >>>
> Joe,
> Also, try running it with noconstant and you may wish to run it with
> the robust option also.
> R.A.Y.
>
>
> 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: Joe Egger <[email protected]>
> Date: Sunday, December 17, 2006 6:37 pm
> Subject: st: SARIMA modeling with 9.0
>
> > I am new to STATA's ARIMA/SARIMA commands and am trying to fit a
> > SARIMAmodel 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
> > commandthe 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
> >
> >
> >
> > *
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> >
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