Solution: Build steps into your do files to export your Stata results into Word. Not only is Stata output difficult to format, you will probably need to run your code many times, and you won’t want to repeat this step over and over again. Both estimators are consistent but they produce slightly different results for the first few forecasting periods. Exporting Stata Results to Excel Problem: Stata output is difficult to copy and paste into Word or Excel. While Stata uses the Kalman filter to compute the forecasts based on the state space representation of the model, users reporting differences compute their forecasts with a different estimator that is based on the recursions derived from the ARIMA representation of the model. The reason for the difference between their manual results and the forecasts obtained with predict after arima is the way the starting values and the recursive predictions are computed. They specifically refer that they are not able to get the exact values for the first few predicted periods. Those users report that they cannot reproduce the complete set of forecasts manually when the model contains MA terms. Some of our users have asked about the way predictions are computed after fitting their models with arima.
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