st: Re: Using the command "lncom" repeatedly with results from last lncom

[Tor Øyvind Jakobsen <tor.o.jakobsen@gmail.com>]

Just forget it!

I found out myself!


Best regards,

Tor Jakobsen


2012/5/19 Tor Øyvind Jakobsen <tor.o.jakobsen@gmail.com>:
> Dear Statalist!
>
> I am using an asymmetric error correction model with the two following
> steps (standard approach in the literature of gasoline markets and
> asymmetric responses)
>
> Step 1: Longrun equilibrium between retail price of gasoline and the
> respective spot price:
> reg pris produktpris
> predict res, r
> gen resmin1=l1.res
> gen resmin1posdummy=resmin1>0 & resmin1<.
> gen resmin1pos=resmin1posdummy*resmin1
>
> Step 2: Dynamic specification
> 6 lags of spot price first differences (for increases, a dummy=1 for
> increases, times first difference), and 6 lags of retail price first
> differences (for increases, a dummy=1 for increases, times first
> difference):
>
> reg prisdiff0 produktprisdiff0 produktprisdiff1 ... produktprisdiff6
> produktprisdiff0pos produktprisdiff1pos ... produktprisdiff6pos
> prisdiff1 prisdiff2 ... prisdiff6 prisdiff1pos prisdiff2pos ...
> prisdiff6pos resmin1 resmin1pos , noconstant
>
> Now the tricky part: I would like to estimate the cumulative response
> functions (CRF's) for increases and decreases in product price. D
> (negative CRF's) explains the change in retail price for each period
> after a negative shock in spot price. Corresponding interpretation of
> I (positive CRF's). The command nlcom gives the expected value and
> corresponding t-value for each CRF (not necessary to interpret the
> combinations of variables below, just take them as given).
>
> nlcom (D0: _b[produktprisdiff0])
> nlcom (D1: _b[D0]+_b[produktprisdiff1]+_b[resmin1]*(_b[D0]-1)+_b[prisdiff1]*_b[D0])
> nlcom (D2: _b[D1]+_b[produktprisdiff2]+_b[resmin1]*(_b[D1]-1)+_b[prisdiff1]*(_b[D1]-_b[D0])+_b[prisdiff2]*_b[D0])
> nlcom (D3: _b[D2]+_b[produktprisdiff3]+_b[resmin1]*(_b[D2]-1)+_b[prisdiff1]*(_b[D2]-_b[D1])+_b[prisdiff2]*(_b[D1]-_b[D0])+_b[prisdiff3]*_b[D0])
> nlcom (D4: _b[D3]+_b[produktprisdiff4]+_b[resmin1]*(_b[D3]-1)+_b[prisdiff1]*(_b[D3]-_b[D2])+_b[prisdiff2]*(_b[D2]-_b[D1])+_b[prisdiff3]*(_b[D1]-_b[D0])+_b[prisdiff4]*_b[D0])
> nlcom (D5: _b[D4]+_b[produktprisdiff5]+_b[resmin1]*(_b[D4]-1)+_b[prisdiff1]*(_b[D4]-_b[D3])+_b[prisdiff2]*(_b[D3]-_b[D2])+_b[prisdiff3]*(_b[D2]-_b[D1])+_b[prisdiff4]*(_b[D1]-_b[D0])+_b[prisdiff5]*_b[D0])
> nlcom (D6: _b[D5]+_b[produktprisdiff6]+_b[resmin1]*(_b[D5]-1)+_b[prisdiff1]*(_b[D5]-_b[D4])+_b[prisdiff2]*(_b[D4]-_b[D3])+_b[prisdiff3]*(_b[D3]-_b[D2])+_b[prisdiff4]*(_b[D2]-_b[D1])+_b[prisdiff5]*(_b[D1]-_b[D0])+_b[prisdiff6]*_b[D0])
>
> nlcom (I0: (_b[produktprisdiff0]+_b[produktprisdiff0pos]))
> nlcom (I1: _b[I0]+(_b[produktprisdiff1]+_b[produktprisdiff1pos])+_b[resmin1pos]*(_b[I0]-1)+(_b[prisdiff1]+_b[prisdiff1pos])*_b[I0])
> nlcom (I2: _b[I1]+(_b[produktprisdiff2]+_b[produktprisdiff2pos])+_b[resmin1pos]*(_b[I1]-1)+(_b[prisdiff1]+_b[prisdiff1pos])*(_b[I1]-_b[I0])+(_b[prisdiff2]+_b[prisdiff2pos])*_b[I0])
> nlcom (I3: _b[I2]+(_b[produktprisdiff3]+_b[produktprisdiff3pos])+_b[resmin1pos]*(_b[I2]-1)+(_b[prisdiff1]+_b[prisdiff1pos])*(_b[I2]-_b[I1])+(_b[prisdiff2]+_b[prisdiff2pos])*(_b[I1]-_b[I0])+(_b[prisdiff3]+_b[prisdiff3pos])*_b[I0])
> nlcom (I4: _b[I3]+(_b[produktprisdiff4]+_b[produktprisdiff4pos])+_b[resmin1pos]*(_b[I3]-1)+(_b[prisdiff1]+_b[prisdiff1pos])*(_b[I3]-_b[I2])+(_b[prisdiff2]+_b[prisdiff2pos])*(_b[I2]-_b[I1])+(_b[prisdiff3]+_b[prisdiff3pos])*(_b[I1]-_b[I0])+(_b[prisdiff4]+_b[prisdiff4pos])*_b[I0])
> nlcom (I5: _b[I4]+(_b[produktprisdiff5]+_b[produktprisdiff5pos])+_b[resmin1pos]*(_b[I4]-1)+(_b[prisdiff1]+_b[prisdiff1pos])*(_b[I4]-_b[I3])+(_b[prisdiff2]+_b[prisdiff2pos])*(_b[I3]-_b[I2])+(_b[prisdiff3]+_b[prisdiff3pos])*(_b[I2]-_b[I1])+(_b[prisdiff4]+_b[prisdiff4pos])*(_b[I1]-_b[I0])+(_b[prisdiff5]+_b[prisdiff5pos])*_b[I0])
> nlcom (I6: _b[I5]+(_b[produktprisdiff6]+_b[produktprisdiff6pos])+_b[resmin1pos]*(_b[I5]-1)+(_b[prisdiff1]+_b[prisdiff1pos])*(_b[I5]-_b[I4])+(_b[prisdiff2]+_b[prisdiff2pos])*(_b[I4]-_b[I3])+(_b[prisdiff3]+_b[prisdiff3pos])*(_b[I3]-_b[I2])+(_b[prisdiff4]+_b[prisdiff4pos])*(_b[I2]-_b[I1])+(_b[prisdiff5]+_b[prisdiff5pos])*(_b[I1]-_b[I0])+(_b[prisdiff6]+_b[prisdiff6pos])*_b[I0])
>
> I started out as following: Wrote ",post" after the D0 command. I then
> calulated D1, but then Stata "forgot" all estimation results from step
> 2, and just "remembered" D0. An alternative solution is to to put D0
> to D5 inside D6, and then calculate D6. I then got the error message
> "expression too long r(130);". Because D6 is dependent on D0 to D5 it
> is not easy to break up the expression in smaller parts. I have no
> idea how to solve this problem.
>
> Any solutions or even hints is greatly appreciated
>
>
> Best regards,
>
> Tor Jakobsen

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