Seasonal moving average error specification.

sma can be included in a ls or tsls specification to specify a multiplicative seasonal moving average term. A sma(p) term can be included in your equation specification to represent a seasonal moving average term of order . The lag polynomial used in estimation is the product of that specified by the ma terms and that specified by the sma terms. The purpose of the sma expression is to allow you to form the product of lag polynomials.

Examples

ls tb3 c ma(1) ma(2) sma(4)

TB3 is modeled as a second order moving average process with a multiplicative seasonal moving average term at lag four.

tsls(z) sale c adv ma(1) sma(12) sma(24) @ c gdp

In this two-stage least squares specification, the error term is a first order moving average process with multiplicative seasonal moving average terms at lags 12 and 24. The “z” option turns off backcasting.

Cross-references

See
“Background” for details on ARMA and seasonal ARMA modeling.