Re: st: ma(1) model, cannot explain the predicted values

[corn@mail.tu-berlin.de]

Thanks for your answer, but I don't understand, what
g man_prede=_b[_cons]
replace man_prede = _b[ARMA:L.ma]*(L.D.wpi-L.man_prede) ///
        + _b[_cons] in 3/l
does?

well, it creates the variable man_prede with the constant term. Ok,  
then it replaces for each value with the coef.*(lag of the variable  
minus the predicted value)  plus the constant term?
Mh, I don't get it.

I thought the normal ma(1) model is:
y(t)= constant + e(t) + coef.*e(t-1) ?

Zitat von Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>:

> You haven't taken care of the initial conditions in your predictions.
> The following example shows you how to construct the predictions
> manually in the way that Stata does. This uses the fact that the
> unconditional prediction is the  the estimate of the intercept:
>
> **********************************
> webuse wpi1, clear
> arima D.wpi,  ma(1)
> predict stata_pred, xb
> g man_prede=_b[_cons]
> replace man_prede = _b[ARMA:L.ma]*(L.D.wpi-L.man_prede) ///
> 	+ _b[_cons] in 3/l
> li
> **********************************
>
> T
>
> On Sun, Nov 20, 2011 at 1:59 AM,  <corn@mail.tu-berlin.de> wrote:
> > Hello,
> > I want understand ma(q) processes. Thats why I made up an example for
> > myself. I have one time series variable called SIE with 20 values (from
> > 08.10.2002 up to 04.11.2002) and the a corresponding variable with time
> > data.
> > first, I type
> >
> > tsset time
> > (time is my time variable)
> >
> > then I want a ma(1) model, so I type
> > arima SIE, ma(1)
> >
> > I get an output, which says that my coef. of the constant is 41.72032 and my
> > coef. of my maL1. is 1.
> >
> > Now, I want to have a look at the values, so I type
> > predict values, xb
> > predict residuen, residuals
> >
> > and the list
> > and my proplem now is: I want to control these values by calculating them by
> > myself:
> > The first values of SIE are:
> > 08.10.2002 32.05
> > 09.10.2002 32.42
> >
> > the predicted values (variable "values") are
> > 08.10.2002 41.72032
> > 09.10.2002 36.88516
> >
> > and the residuals
> >
> > 08.10.2002 -9.670321
> > 09.10.2002 -4.465162
> >
> > now I tried to calculate:
> > I thought ma(1) means:
> > y(1) = constant +e(1)+coef.*e(0) = 41.72032 + (-9.670321) + 1*0= 32.05
> > ok this works, now y(2):
> > y(2) = constant + e(2)+coef.*e(1)
> > so y(2) = 41.72032 + -4.465162 + 1*-9.670321 but this is not 36.88516 ?
> > Please, can you explain, how to get the value 36.88516? I dont see it....
> >
> > Thanks a lot!
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/help.cgi?search
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> Tirthankar Chakravarty
> tchakravarty@ucsd.edu
> tirthankar.chakravarty@gmail.com
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/



*
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