Dear Philippe,
thanks al lot for your reply. This is probably the reason why...
Greetings to Luxemburg, Sascha
> Sascha,
>
> I believe it is because `1' is set by -simul-. When running -adfsim- as a
> standalone program, without arguments, `1' is empty and the -post-
> expression is then invalid.
>
> If you remove the brackets around r(..), stata looks for an open postfile
> handle named r, that it does not find, thence the other error message.
>
> For testing, I guess you'd rather comment out the -post- statement.
>
> Hope this helps,
>
> Philippe
>
> >>>>>>>>>>>>>>>>>>>>>>>>
>
> st: ADF simulation
>
> From: "Sascha O. Becker" <[email protected]>
> Subject: st: ADF simulation
> Date: Fri, 9 May 2003 11:43:02 +0200 (MEST)
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>
> Dear statalisters,
>
> I have written some code as a basis for simulating the properties of ADF
> test statistics (following the burn-in method, as Jeff Pitblado called it
> a day
> ago) and am getting blind in understanding why I get an error message.
> When I
> run the following code (i.e. doing a 1-replication-"simulation" by
> invoking
> the below program just once without using the simul command), I get as
> error
> message:
>
> ( invalid name
>
> When I leave out the brackets round r(Zt), I get the message
>
> post r not found
>
> So, it seems Stata does not recognize the expression r(Zt).
> Strangely though, when I run a true simulation, i.e. I type
>
> simul adfsim3, reps(2000)
>
> I get no error message...
>
> Does the post stuff only work together with simul or should it also post
> the
> DF statistics when just invoking adfsim3 "by hand"? Even if this
> presumption
> were true, why is the error message "( invalid name" respectively "post r
> not found" and not something else?
>
> Thanks in advance for any suggestion you might have on this.
>
> Ciao, Sascha
>
>
>
> **************
> BEGIN OF CODE
> **************
>
> program define adfsim3
> version 7.0
> if "`1'"=="?" {
> global S_1 "dfull"
> exit
> }
> /* args b1 b2 keep burn sigma */
> *args keep burn
> /* read in: b1 /* coefficient on time trend */
> b2 /* coefficient on AR(1) term */
> keep /* #obs to be kept after all, i.e. length of the
> time
> series after simulation */
> burn /* #obs to be burnt after all */
> sigma /* standard error */ */
> local keep 50
> local burn 100
> local obs = `keep' + `burn'
> * drop all variables in memory
> drop _all
> * SET NUMBER OF OBSERVATIONS
> set obs `obs'
> * DRAW RANDOM NUMBERS FROM N(0,sigma) */
> * generate double mynormal= `sigma' * invnorm(uniform())
> generate double mynormal= se * invnorm(uniform())
> generate time=_n - `burn'
> tsset time
> * use the first entry in mynormal as a y(0) and the rest as epsilons
> generate double y=mynormal in 1
> * NOTE: replace works recursively !!
> replace y=1+b1*time+b2*l.y+mynormal in 2/`obs'
> * keep the last `keep' obs, i.e. the desired length of the time series
> keep in -`keep'/l
> * perform Dickey-Fuller: constant is used as default, otherwise option
> "noconstant"
> dfuller y, lags(1) trend
> post `1' (r(Zt))
> end
>
> adfsim3
>
> **************
> END OF CODE
> **************
>
>
> Dr. Sascha O. Becker - Center for Economic Studies
> Department of Economics - University of Munich
> Schackstr. 4 - 80539 Munich, Germany
>
>
>
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