All
I am working on an estimation program for SETAR models. The DGP is shown and should be picked up by the program. I want to sort all models by ascending variance and then choose the one with the minimum. Maybe someone can show how that can be done with the matrix `var'.
Thanks a lot
/*
Program for Self-Exciting Threshold AutoRegressive model
*/
clear
set obs 100
gen time=_n
tsset time
gen y=0
replace y=(1+0.3*l.y)*(y>0)+(0+0.5*l.y)*(y<=0)+0.5*invnorm(uniform()) if time>1
line y time
capture program drop setar
program define setar
version 8.2
syntax varlist [if] [in], ar(int 1) steps(int 10)
marksample touse
qui count if `touse'
if r(N) ==0 {
error 2000
}
if `ar'<1 {
di as error "the AR component must be bigger than 1"
exit 198
}
if `steps'<5 {
di as error "you should have at least 5 steps"
exit 198
}
qui sum `1'
local min r(min)
local max r(max)
local y `1'
forval i=1/`steps' {
tempvar y`i' y`i'inv
gen y`i'=l.(y>`min'+`i'*(`max'-`min')/`steps')
gen y`i'inv=1-y`i'
forval j=1/`ar' {
tempvar y`i'`j' y`i'inv`j'
gen y`i'`j'=l`j'.y*y`i'
gen y`i'inv`j'=l`j'.y*y`i'inv
}
qui reg y y`i' y`i'1-y`i'`ar' y`i'inv y`i'inv1-y`i'inv`ar'
*store the variance and threshold
mat var[`i',1]=(e(rmse)*e(rmse)*e(df_r)/e(N))
mat var[`i',2]=`min'+`i'*(`max'-`min')/`steps'
}
end
Dirk NachbarAssistant Economist
Pensim2
Department for Work and Pensions
Level 4, The Adelphi
1-11 John Adam St
WC2N 6HT London
020 796 28531
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