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Re: st: Program to simulate AR(1) time series and return autocorrelations
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: Program to simulate AR(1) time series and return autocorrelations
Date
Fri, 24 Feb 2012 23:59:59 +0000
You can't put a matrix into a value of a variable.
Nick
On Fri, Feb 24, 2012 at 7:02 PM, brandon lebeau <[email protected]> wrote:
> I am attempting to write a program that simulates an AR(1) time series
> using the sim_arma command
> and computes autocorrelations with the corrgram function. I'm having
> difficulties accessing the stored
> results from the corrgram function, specifically the matrix r(AC).I
> have also tried just accessing r(ac1),
> r(ac2), etc. and that works, but does not work when I try to use the
> simulate command.
>
> Here is my program so far:
>
> program define simarmaT, rclass
> sim_arma simy, nobs(20) arcoef(.45) time(time) spin(2000)
> tsset time
> corrgram simy, lags(13) noplot
> return matrix autoC = r(AC)
> end
>
> Then I'd like to use the simulate function to replicate this about
> 10,000 times.
> Here is a version of my simulate command:
>
> simulate autoC = r(AC), reps(20): simarmaT
>
>
> I'm hoping their is a simple solution to this as I'm a new user to
> Stata, I primarily use R,
> but need to replicate my simulation done in R with another program.
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