Samuel
unfortunately I am not working on the SETAR model at the moment.
below is a rudimentary Stata program which has to be debugged and finalised. Maybe someone from the list can help me and you. The array var at the end should store the variances of all possible models and then the one with lowest variance should be output.
good luck,
Dirk
/*
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
|
[email protected]
30/06/2006 07:42 |
To
Dirk Nachbar/London/Asd@ASD
cc
Subject
Help: Stata and SETAR
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