Re: st: ucm with daily data

["Dimitriy V. Masterov" <dvmaster@gmail.com>]

The main issues is that ucm requires computing a Kronecker product
that generates a matrix with a dimension larger than t^2+t^4, which is
rather large for t=365. This is the reason why the limit was set to
t=52, which represents a weekly seasonal pattern. Stata developers are
looking into raising this limit to something loftier. In the mean
time, they suggested aggregating to weekly and using 52.

I took Sergiy's intrepid advice and "created" ucm365.ado by changing
the definition of local m to -local m = min(365,`N')-. It's been
searching for initial values for most of today, but it seems to be
running. I'll report back if this actually works.

DVM

On Wed, Jun 26, 2013 at 12:28 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> I doubt Dimitriy needs this comment, but for any newcomers listening,
> the standard and longstanding advice here is to clone the file under a
> new name and then change it, taking full responsibility for the change
> and its effects.
>
> An important detailed change with Stata 13 is that updated files will
> overwrite existing files, which adds extra point to that advice. If
> you change -foo.ado- to your liking, not only is that a bad idea, the
> next time Stata updates -foo.ado- that process will overwrite your
> copy.
> Nick
> njcoxstata@gmail.com
>
>
> On 26 June 2013 20:22, Sergiy Radyakin <serjradyakin@gmail.com> wrote:
>> Dimitriy,
>>
>> the check against 52 is implemented around line 203 in ucm.ado. This
>> looks to me like an artificial safety measure. The rest of the program
>> refers to 365, so it might work if you simply disable the check. You
>> may encounter another problem later on then (and whether you encounter
>> it immediately or later might be data dependent), plus your program
>> will not work on other computers with Stata since they will contain
>> the original version of ucm.ado.
>>
>> ucm.ado is by StataCorp. You will need to consult with them whether
>> there is anything (technical or legal) that can prevent you from doing
>> such modifications. They might also shed some light onto why the
>> condition is there in the first place.
>>
>> Best,
>>    Sergiy Radyakin
>>
>>
>>
>>
>> On Wed, Jun 26, 2013 at 12:45 PM, Dimitriy V. Masterov
>> <dvmaster@gmail.com> wrote:
>>> Sergiy,
>>>
>>> Sorry for the confusion. UCM stands for unobserved components model.
>>> It decomposes a time series into trend, seasonality, an idiosyncratic
>>> component, and up to 3 cycle(s) using a Kaman filter state space
>>> approach with the parameter estimated by MLE. It's a native Stata
>>> command, like ARIMA, and it allows for exogenous variables. I think
>>> UCM is standard terminology for this sort of structural time series
>>> model. For instance, SAS has a proc ucm.
>>>
>>> Seasonality is specified as an option: ucm bi, seasonal(365)
>>>
>>> The number in the parentheses is the period of the season (the number
>>> of time-series observations required for the period to complete).
>>> Stata complains that 365 exceeds 52, but I can't find this limitation
>>> detailed anywhere. I have daily data, so weekly seasonality seems like
>>> a tight constraint.
>>>
>>> The exact error messages is:
>>>
>>> seasonal(365) exceeds 52; this is not allowed
>>> r(459);
>>>
>>>
>>> DVM
>>>
>>> On Wed, Jun 26, 2013 at 6:44 AM, Sergiy Radyakin <serjradyakin@gmail.com> wrote:
>>>> Dimitriy, once you tell us what UCM is and what command you are
>>>> running, it would be possible to look at the source and see whether
>>>> the constraint is serious and necessary for the program to work, or
>>>> just a safety constraint that can be relaxed by modifying the
>>>> threshold value.Sergiy
>>>>
>>>> On Tue, Jun 25, 2013 at 11:19 PM, Dimitriy V. Masterov
>>>> <dvmaster@gmail.com> wrote:
>>>>> I am trying to fit a UCM with a daily time series. Seasonal(365)
>>>>> throws a r(459) error, and tells me not to exceed 52. This limitation
>>>>> is not described anywhere.
>>>>>
>>>>> Any ideas on how to deal with this problem?
>>>>>
>>>>> DVM
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