st: Re: save coeff estimators of Arima model with foreach

["Martin Weiss" <martin.weiss1@gmx.de>]

<>

I cannot see what is inherently wrong in your code. If others want to check 
my reasoning, it is pretty much equivalent to

*******
sysuse auto, clear
g coeffs=.
qui levelsof rep78, loc(levels)
qui foreach l of local levels {
    reg pr we f tr if rep == `l'
    replace coeffs= _b[tr] if rep == `l'
}
sort rep
l coef rep78, noo sepby(rep)
*******

which does work, and is itself equivalent to the easier

*******
statsby _b[tr], by(rep78) clear : reg pr we f tr
*******

though that -after your confirmation- destroys your dataset in memory.


So you say that you have checked you can run these commands on the entire 
sample. That need not mean much. Rather, pick out some level of your gvkey 
randomly and run the thing with the if-statements present. Try that for a 
couple of these levels to get a flavor of what is going on and report the 
results back to the list...

HTH
Martin
_______________________
----- Original Message ----- 
From: "Hua Pan" <panhua@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, March 11, 2009 11:42 PM
Subject: st: save coeff estimators of Arima model with foreach


> Hi statalisters,
>
> I’m a beginner for Stata, and I have just a problem with it. I want to do 
> a cross-sectional time series analysis with command “arima” and imput the 
> estimator of “AR L1. Coefficient” of every panel data into the datasheet 
> with the help of “foreach” and “levelsof”.
>
> My Data looks like this:
> gvkey      qtl         eps
> 1 2003q1        ….
> 1       2003q2        ….
> 1       2003q3        ….
> ...       …….
> 2       2003q1
> 2       2003q2
> 2       2003q3
> …
> gvkey:  identify-Nr. of firms (panel variable, long)
> qtl:     quarter (time variable, float)
> eps:    earnings per share (dependent variable, float)
>
> So I’ve tried:
>
> - generate AR =.
> tsset gvkey qtl
> levelsof gvkey, local(levels)
> foreach l of local levels {
> arima eps if gvkey == `l', arima(1,0,0) sarima(0,1,0,4)
> replace AR = _b[ARMA:L1.ar] if gvkey == `l'
> }
>
> But it doesn’t seem to work. Time series analysis (Arima) hasn’t been done 
> and all of AR are still missing value.
> I’m sure this is correct:
> - arima eps, arima(1,0,0) sarima(0,1,0,4)
> - replace AR = _b[ARMA:L1.ar]
> I’ve tried it for data with one Observation (one gvkey)
>
> I guess, there may be something wrong with foreach or levelsof, but I can’t 
> find the error. Can anyone here give me any advice?
> Any help would be greatly appreciated. Thanks in advance for your time.
> I’m using Stata version 10.1 SE (Windows).
>
> Best Regards
>
> Hua Pan
> University of Cologne
>
>
> --
> Psssst! Schon vom neuen GMX MultiMessenger gehört? Der kann`s mit allen: 
> http://www.gmx.net/de/go/multimessenger01
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