st: recursively defined variables

[Bjorn Persson <bpersson@bu.edu>]

Dear Statalist,

I received a very helpful answer (from Nick Cox) to the problem I posted 
yesterday re recursive variables, as well as a reference to Roger 
Newson's useful Stata Tip in Stata Journal 4(4) 2004.  However, when I 
try to replicate the examples in Newson's note I keep getting the error 
message " obs.nos. out of range"  after the command:

replace  y = y[_n-1]  +...  (from Newson's Fibonacci sequence example)

Any ideas on what's going wrong here?

(Sorry if this is a double posting - my first mail seems not to have 
gone through)

Best,
Bjorn


Nick Cox wrote:

This notation I understand to mean 
xt    -> x at time t 
xt-1  -> x at time t - 1
x1    -> x at time 1

If so, you initialise 
gen x = z in 1 
and then you replace 
replace x = b * x[_n-1] + z in 2/l 
where I guess b is a place-holder 
for a number you know and note that 
"l" stands for "l"ast. 
The principle is given by the title
of a useful Stata Tip by Roger Newson: 
generate and replace use the current sort order. 
Stata Journal 4(4):484--485 (2004)

Nick 
n.j.cox@durham.ac.uk 
bpersson@bu.edu

 

> I was wondering if anybody could help me to define a variable
> recursively in stata? That is, I would like define each observation x
> as the sum of a flow variable, z, and the lagged x variable,
> discounted by a factor b:
>
> xt = zt + b*xt-1
>
> The three first x variables would then be:
>
> x1 = z1
>
> x2 = z2 + b*z1
>
> x3 = z3 + b*z2 + b^2*z1
>
> and so on).
>
>    
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