Re: st: Generating a bounded AR(1) series for Monte-Carlo Simulation

[Paddy Carter <Paddy.Carter@bristol.ac.uk>]

Austin,

Thanks a million - that replace, max, min construction is just what I need.

I confess I didn't see from the help file, and still can't, that if only 
executes {code} if the first observation in the data satisfies the 
condition, but I feel foolish because if I'd looked more closely at the 
data, I'd have seen `aid' was the original uniform draw and none of the 
commands had executed.

best,

Paddy

--On 11 July 2009 09:38 -0400 Austin Nichols <austinnichols@gmail.com> 
wrote:

> Maybe you want something like:
>
> clear
> set seed 1
> range year 1 100 100
> expand 9
> bys year: g i=_n
> g aid=uniform()/3 if year==1
> tsset i year
> loc r=0.5
> loc c=0.1
> g s=rnormal()/10
> replace aid=min(max(`c'+`r'*L.aid+s,0),.3) if year>1
> xtline aid
>
> On Sat, Jul 11, 2009 at 9:32 AM, Austin Nichols<austinnichols@gmail.com>
> wrote:
> > Paddy Carter<Paddy.Carter@bristol.ac.uk> :
> >
> > Read -help ifcmd- and note that
> >
> > if year>1 {
> >  some code
> > }
> >
> > executes "some code" only if the first observation on year in the data
> > is greater than 1.  Similar problems apply to the if commands you have
> > put inside the main set of braces.
> >
> > On Sat, Jul 11, 2009 at 9:02 AM, Paddy
> > Carter<Paddy.Carter@bristol.ac.uk> wrote:
> > > Dear Statalisters
> > >
> > > I have a puzzle, concerning a section of a program intended to generate
> > > an AR(1) series for `aid' that is bounded between 0 and 0.3
> > >
> > > Prior to this section of the program, I have already generated
> > > countries, time (and xtset the data) and a variable `aid' consisting of
> > > random draws from a uniform distribution on [0,0.3]  - all but the
> > > first observation of which for each country, I wish to replace, using
> > > the following code:
> > >
> > > if year>1 {
> > >        if  L.aid<0  {
> > >           replace aid=const+`rho'*L.aid+rnormal(0.1,0.01)
> > >                   }
> > >        else if L.aid>0.3 {
> > >           replace aid=const+`rho'*L.aid+rnormal(-0.1,0.01)
> > >                   }
> > >        else {
> > >            replace aid=const+`rho'*L.aid+(rnormal()/100)
> > >                   }
> > >
> > >           }
> > >
> > > I expect this code to do the following: whenever aid wanders beyond the
> > > bounds 0 and 0.3, the shock in the next period is set to bounce it away
> > > from these bounds. Hence I would expect to see observations of aid that
> > > do stray beyond 0 and 0.3 but which bounce back in the subsequent
> > > period. My puzzle is that when I run this code with large T, the aid
> > > series never strays beyond bounds. By my understanding, that shouldn't
> > > be happening.
> > >
> > > I would actually like to write a program such that aid never strays
> > > beyond bounds, but I didn't know how to; I appear to have done so
> > > inadvertently, but the fact I don't understand what it's doing makes me
> > > fear I've gone totally wrong.
> > >
> > > I apologise if I'm missing something obvious; this is my first ever
> > > attempt at programming.
> > >
> > > This is on Stata/IC 10.1 for Windows
>
> *
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----------------------
Paddy Carter
Department of Economics
University of Bristol
paddy.carter@bristol.ac.uk

*
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