Hi,
I apologize for the simple question, but I’m very new to econometric analysis in MATLAB and not so experienced in Stata. Essentially, I have a database (attached Excel file) that I’m using to estimate an ARIMA(1,1,4) model for the variable "wpi". I’ve followed standard procedures in both Stata and MATLAB based on educational videos, but I’m receiving different coefficient estimates. I’ve made sure that both Stata and MATLAB use the first difference in the dependent variable, but I’m unsure what I’m doing wrong to get different estimates.
In fact, Stata Corp has a video on this exercise (https://www.youtube.com/watch?v=8xt4q7KHfBs), where the author [mistakenly used "wpi" instead of "log(wpi)"] and reports the results at minute 7:26. You can see the coefficient values there. When I fit the exact same model in MATLAB Econometric Modeller, my coefficient estimates are different. For example, the MATLAB constant estimate is 0.15, whereas in Stata it’s 0.74, and so on.
Could you please help me diagnose the problem? I’m attaching the dataset here. Thank you very much.Hi,
I apologize for the simple question, but I’m very new to econometric analysis in MATLAB and not so experienced in Stata. Essentially, I have a database (attached Excel file) that I’m using to estimate an ARIMA(1,1,4) model for the variable "wpi". I’ve followed standard procedures in both Stata and MATLAB based on educational videos, but I’m receiving different coefficient estimates. I’ve made sure that both Stata and MATLAB use the first difference in the dependent variable, but I’m unsure what I’m doing wrong to get different estimates.
In fact, Stata Corp has a video on this exercise (https://www.youtube.com/watch?v=8xt4q7KHfBs), where the author [mistakenly used "wpi" instead of "log(wpi)"] and reports the results at minute 7:26. You can see the coefficient values there. When I fit the exact same model in MATLAB Econometric Modeller, my coefficient estimates are different. For example, the MATLAB constant estimate is 0.15, whereas in Stata it’s 0.74, and so on.
Could you please help me diagnose the problem? I’m attaching the dataset here. Thank you very much. Hi,
I apologize for the simple question, but I’m very new to econometric analysis in MATLAB and not so experienced in Stata. Essentially, I have a database (attached Excel file) that I’m using to estimate an ARIMA(1,1,4) model for the variable "wpi". I’ve followed standard procedures in both Stata and MATLAB based on educational videos, but I’m receiving different coefficient estimates. I’ve made sure that both Stata and MATLAB use the first difference in the dependent variable, but I’m unsure what I’m doing wrong to get different estimates.
In fact, Stata Corp has a video on this exercise (https://www.youtube.com/watch?v=8xt4q7KHfBs), where the author [mistakenly used "wpi" instead of "log(wpi)"] and reports the results at minute 7:26. You can see the coefficient values there. When I fit the exact same model in MATLAB Econometric Modeller, my coefficient estimates are different. For example, the MATLAB constant estimate is 0.15, whereas in Stata it’s 0.74, and so on.
Could you please help me diagnose the problem? I’m attaching the dataset here. Thank you very much. econometric modeler, arima, stata MATLAB Answers — New Questions

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