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Re: st: RE: xtmixed predictions w/AR or MA errors
From
"L. Hamilton" <[email protected]>
To
[email protected]
Subject
Re: st: RE: xtmixed predictions w/AR or MA errors
Date
Sun, 14 Mar 2010 17:08:20 -0400 (EDT)
On Sun, 14 Mar 2010, Martin Weiss wrote:
Just out of curiosity: What do you want Stata to do about the AR/MA terms?
How would you ideally incorporate them into a prediction of yhat?
In the case of a model with AR(1) residuals, for example, I'm
interested in graphing time plots for each panel showing observed
y together with predicted y values from fixed effects, plus
predicted random effects, plus rho*e[t-1].
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of L. Hamilton
Sent: Sonntag, 14. März 2010 19:49
To: [email protected]
Subject: st: xtmixed predictions w/AR or MA errors
Is there a straightforward way to calculate predicted values after
xtmixed with AR or MA residuals? It does not appear that
. predict yhat, fitted
makes use of the AR or MA terms. I can generate yhat "by hand"
but was hoping for a more general solution.
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--
******************************************************************
Lawrence C. Hamilton
Professor
Department of Sociology
University of New Hampshire
Durham, NH 03824 USA
tel: 1-603-862-1859
fax: 1-603-862-3558
email: [email protected]
Web: http://pubpages.unh.edu/~lch
******************************************************************