Thank you, Kit, for your help.
I wrote the program as follows:
program roll, rclass
version 9.2
syntax varlist(ts) if
regress `varlist' `if'
nlcom _b[l.mmr]/_b[l.lr]
mat nadineb = r(b)
local localnadineb = nadineb[1,1]
return local lnadineb =`localnadineb'
mat nadinev = r(V)
local localnadinev = nadinev[1,1]
return local lnadinev =`localnadinev'
end
executed it with
use emerging, clear
rolling lnadineb= r(localnadineb) ladinev= r(localnadinev), window(60)
saving(nadine2,replace): roll d.lr l(1/2)d.lr l(0/3)d.mmr l.lr l.mmr if
country ==4
Now, it is running "roll" on the estimation sample but without producing any
estimates:
Rolling replications (265)
1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
xxxxxxxxxxxxxxxxxxxeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee 50
eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee 100
eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee 150
eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee 200
eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee 250
eeeeeeeeeeeeeee
file nadine2.dta saved
What have I done wrong?
Thanks again
Nadine
-----Ursprüngliche Nachricht-----
Von: Kit Baum [mailto:[email protected]]
Gesendet: Samstag, 11. Oktober 2008 17:00
An: Nadine Kalwey
Cc: [email protected]
Betreff: Re: st: question about rolling regression and nlcom
< >
You can't return a matrix as a local.
matrices:
r(b) : 1 x 1
r(V) : 1 x 1
. local junk `r(b)'
. di "`junk'"
matrix
You also must move r(b), r(V) to new matrices before you can refer to
their elements (as with e(b), E(V)).
You could extract the [1,1] element of r(b) and the [1,1] element of
r(V) and save them as locals and return them.
. mat b = r(b)
. local elt = b[1,1]
. di "`elt'"
.0000498711997947
etc.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Oct 11, 2008, at 09:51 , Nadine Kalwey wrote:
> Dear Kit,
>
> I have some problems obtaining standard errors from nonlinear
> combinations
> of estimators after running a rolling regression. In July 2007, in the
> context of "rolling" and "lincom" you suggested to someone to write a
> 'wrapper' program. I tried to do the same for 'nlcom':
>
> program roll, rclass
> version 9.2
> syntax varlist(ts) if
> regress `varlist' `if'
> nlcom -(_b[l.mmr]/_b[l.lr])
> return local b =`r(b)'
> return local v =`r(V)'
> end
>
> and then try to execute the program with:
> use emerging, clear
>
> rolling b=r(b) v=r(V), window(60) saving(nadine, replace): roll lrd
> l(1/2).lrd l(0/3).mmrd l.lr l.mmr if country ==4
>
> Unfortunately, I receive the error message "matrix not found, an error
> occurred when rolling executed roll, r(111)".
>
> It would be great if you could help me with that!
>
> Thanks for your time,
>
> Best regards
> Nadine
>
> **********************************
> Nadine Kalwey
> University of Cologne
> Department of Economic Policy
>
> Wiso-Hochhaus, Room 731a
> Albertus-Magnus Platz
> D-50923 Köln
>
> PHONE: +49 (0)221 470-2378
> FAX: +49 (0)221 470-5188
> email: [email protected]
>
>
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