Command Reference : Special Expression Reference
Moving average error specification.
The ma specification may be added in an ls or tsls specification to indicate a moving average error component. ma(1) indicates the first order component, ma(2) indicates the second order component, and so on.
You may express a range of MA terms using the “to” keyword between a starting and ending integer.
ls(z) m1 c tb3 tb3(-1) ma(1) ma(2)
regresses M1 on a constant, TB3, and TB3 lagged once with first order and second order moving average error components. The “z” option turns off backcasting in estimation.
ls(z) m1 c tb3 tb3(-1) ma(1 to 4)
estimates the same model but with MA terms from 1 to 4.
See “Time Series Regression” for details on ARMA and seasonal ARMA modeling.
See also sma, ar, and sar.