Re: st: How to add Q stats from -wntestq- to -esttab- table (hopefully with -estadd-)

[Stas Kolenikov <skolenik@gmail.com>]

I don't see much advantage of -eststo- over the official -estimates
store-, with which you may not be familiar. -estimates- are as close
as Stata gets to R objects, with -e(whatever)-
being essentially results$whatever. -estadd-, on the other hand, is
immensely helpful. In your R to Stata work, you would also find that
you would need to declare temporary variables explicitly with
-tempvar-, and use local macro names for these. (It actually provides
a better locality control than R objects that can seep through the
program interfaces and produce unpredictable results. In Stata,
variables in the data set are ALWAYS global, and the macros in a
program are ALWAYS local.) Hence your programmatic solution would look
like

program define arima_plus_wntestq
  version 11
  syntax varlist , estname( name ) [ * ]
  quietly {
    arima `varlist', `options'
    tempvar res
    predict `res', residuals
    wntestq `res'
    estadd scalar Q = r(stat)
    estadd scalar df_Q = r(df)
    estadd scalar p_Q = r(p)
    estimates store `estname'
  }
end // of arima_plus_wntestq

Another thing about R to Stata change is that you can rely on the
official Stata commands doing good job with backwards compatibility,
but you should rarely expect such of the user-written command. In
other words, in your own programs, you would want to use as little
user-written stuff as needed for them to work. (There is no built-in
mechanisms to resolve dependencies, but you as the author of the
program may build rudimentary tools for that. More typically, I put
whatever -ssc install- packages I need at the top of my do-file,
rather than in ado-files and programs themselves.)

On Fri, Sep 16, 2011 at 8:39 AM, Richard Herron
<richard.c.herron@gmail.com> wrote:
> I found a hackish solution.
>
> * ----- begin code -----
> * combine regressions with -eststo- and add -wntestq- with -estadd-
> webuse friedman2, clear
> generate ln_m1 = ln(m1)
> eststo clear
> eststo: quietly arima DS4.ln_m1, ar(1) ma(2)
> quietly predict res_1, residuals
> quietly wntestq res_1
> estadd scalar Q = r(stat)
>
> eststo: quietly arima DS4.ln_m1, ar(1) ma(1/2)
> quietly predict res_2, residuals
> quietly wntestq res_2
> estadd scalar Q = r(stat)
>
> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(2)
> quietly predict res_3, residuals
> quietly wntestq res_3
> estadd scalar Q = r(stat)
>
> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(1/2)
> quietly predict res_4, residuals
> quietly wntestq res_4
> estadd scalar Q = r(stat)
>
> * and create tables with -esttab-
> esttab, stats(aic bic Q) noobslast nomtitles
> * ----- end code -----
>
> Programming is the next task in my R-to-Stata switch. I will update
> when I learn how to code a -estadd_wntestq- solution.
>
> On Wed, Sep 14, 2011 at 20:32, Richard Herron
> <richard.c.herron@gmail.com> wrote:
>>
>> I have an -esttab- table with multiple -arima- models to which I would
>> like to add Q stats made with -wntestq-. I can't use -estadd scalar-
>> because Q stats are not part of -arima- objects. Is there a way that I
>> can chain together -predict, residuals- and -wntestq- to add Q stats
>> to my -esttab- table? Thanks!
>>
>> Here is some code (including how I would find Q stats "manually"):
>>
>> * ----- begin code -----
>> * I know how to combine regressions with -eststo-
>> webuse friedman2, clear
>> generate ln_m1 = ln(m1)
>> eststo clear
>> eststo: quietly arima DS4.ln_m1, ar(1) ma(2)
>> eststo: quietly arima DS4.ln_m1, ar(1) ma(1/2)
>> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(2)
>> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(1/2)
>>
>> * and create tables with -esttab-
>> esttab, aic bic noobslast nomtitles
>>
>> * I would like to add Q stats to each model with -estadd-, but I can't
>> figure out how
>>
>> * here's how I find Q stats "manually"
>> quietly arima DS4.ln_m1, ar(1/2) ma(1/2)
>> predict res, residuals
>> wntestq res, lags(8)
>> * ----- end code -----

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/