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  • Arima command - using lags vs. ar(x)

    Hey,

    I try to estimate an arima model. As far as I know there should be no difference between using these two codes:
    Code:
    webuse gnp96, clear
    gen gnp96_new = gnp96 in 1/122
    arima gnp96_new L(1/2).gnp96_new in 1/122
    predict gnp96_pred in 123/142, dynamic(.)
    tsline gnp96 gnp96_new gnp96_pred
    vs.

    Code:
    webuse gnp96, clear
    gen gnp96_new = gnp96 in 1/122
    arima gnp96_new in 1/122, ar(1/2)
    predict gnp96_pred in 123/142, dynamic(.)
    tsline gnp96 gnp96_new gnp96_pred
    As can be seen in the graph there is a difference. In the second case the forecast is just a constant value. What do I do wrong?

    Thanks in advance!
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