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st: ARIMA estimation with lagged y
From
KiDeuk Kim <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: ARIMA estimation with lagged y
Date
Mon, 27 Aug 2012 13:14:45 -0700 (PDT)
Dear Statalisters,
I am running some time-series models and I haven't been able to understand how exactly Stata estimates my parameters.
arima y L1.y , arima(2,0,0)
Stata generates estimates for all parameters. But, aren't L1.y and AR(1) the same thing? If not, what do they refer to, and how the estimation is done?
y|
L1. | .9931215 .0106097
93.60 0.000 .9723268
1.013916
-------------+----------------------------------------------------------------
ARMA
|
ar |
L1. | -.6287463 .0922857 -6.81
0.000 -.809623 -.4478696
L2. | -.2899874 .0828432 -3.50
0.000 -.4523571 -.1276177
Any insights you can offer would be greatly appreciated.
KiDeuk
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