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Fwd: AW: st: question about rolling regression and nlcom
From: Kit Baum <[email protected]>
Date: October 13, 2008 7:32:26 AM EDT
To: "Nadine Kalwey" <[email protected]>
Subject: Re: AW: st: question about rolling regression and nlcom
Use scalars, not locals. -rolling- wants numbers, not strings.
prog drop _all
program roll, rclass
version 9.2
syntax varlist(ts) if
regress `varlist' `if'
nlcom _b[l.income]/_b[l.consumption]
mat nadineb = r(b)
return scalar lnadineb = nadineb[1,1]
mat nadinev = r(V)
return scalar lnadinev = nadinev[1,1]
end
rolling lnadineb=r(lnadineb) ladinev=r(lnadinev), window(10) ///
saving(nadine2,replace): roll d.income l.income l.consumption if
tin(1960q4,)
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 13, 2008, at 04:53 , Nadine Kalwey wrote:
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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