Dear Statalist,
I have a question about the stata command to estimate the Difference-Stationary Model in the form of D.ln(y)=b+u that is the first-differenced form of the simple log-linear trend equation ln(y)=bt+u, where b is the growth rate and t is the time variable.
In the Difference-Stationary model, the growth rate of y is regressed on a constant and an error term that has an ARMA specification.
So can I use ARIMA (arima D.ln(y), ar() ma()) to estimate this Difference-Stationary model?
Thank you very much!
I have a question about the stata command to estimate the Difference-Stationary Model in the form of D.ln(y)=b+u that is the first-differenced form of the simple log-linear trend equation ln(y)=bt+u, where b is the growth rate and t is the time variable.
In the Difference-Stationary model, the growth rate of y is regressed on a constant and an error term that has an ARMA specification.
So can I use ARIMA (arima D.ln(y), ar() ma()) to estimate this Difference-Stationary model?
Thank you very much!
Comment