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From |
"Nevo, Dorit" <dorit.nevo@commerce.ubc.ca> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: Including a matrix in a monte carlo simulation |

Date |
Wed, 16 Oct 2002 12:53:33 -0700 |

Thanks. I'm not sure I'm going in the right direction so I'm pasting the full program below. I am trying to calculate the mean and standard error of sigma. I need quite a few calculations along the was so I tried to generalize on the basic monte carlo example that I found in the reference book and online. By the time I create the matrix Fc should already be calculated. It works fine without the matrix command so I'm not sure why the problem occurred. Dorit program define aes_monte version 7.0 if "`1'" == "?" { global S_1" mean var" exit } drop _all set obs 3000 gen B0 = -.0353521 gen R = .5022559 + .0403609*invnorm(uniform()) gen Dc = -.3476753 + .0700479*invnorm(uniform()) gen Dk = .3394081 + .0281788*invnorm(uniform()) gen Bcc = -.0106232 + .0030351*invnorm(uniform()) gen Bkk = .0782757 + .0023668*invnorm(uniform()) gen Bll = .0859557 + .0030879*invnorm(uniform()) gen Bck = .0217035 + .002353*invnorm(uniform()) gen Bcl = .0066442 + .0040709*invnorm(uniform()) gen Bkl = -.1821175 + .0040324*invnorm(uniform()) gen C = 14.86249 gen lnC = 2.69884 gen K = 576.6429 gen lnK = 6.357223 gen L = 486.6226 gen lnL = 6.187489 gen V =exp(B0 - (1/R)*ln(Dc*(C^(-R)) + Dk*(K^(-R)) + (1-Dc-Dk)*(L^(-R))) + Bcc*(lnC^2) + Bkk*(lnK^2) + Bll*(lnL^2) + Bck*lnC*lnK + Bcl*lnC*lnL + Bkl*lnK*lnL) gen Z = Dc*C^(-R)+Dk*K^(-R)+(1-Dc-Dk)*L^(-R) gen Fc = V*(Dc*C^(-R-1)/Z+Bck/C*lnK+Bcl/C*lnL+2*Bcc/C*lnC) gen Fk = V*(Dk*K^(-R-1)/Z+Bck/K*lnC+Bkl/K*lnL+2*Bkk/K*lnK) gen Fl = V*((1-Dc-Dk)*L^(-R-1)/Z+Bcl/L*lnC+Bkl/L*lnK+2*Bll/L*lnL) gen Fcc = Fc^2/V - Fc/C + V*((-R*Dc*C^(-R-2))/Z+(Dc^2*C^(-2*R-2)*R)/Z^2+2*Bcc/C^2) gen Fkk = Fk^2/V - Fk/K + V*((-R*Dk*K^(-R-2))/Z+(Dk^2*K^(-2*R-2)*R)/Z^2+2*Bkk/K^2) gen Fll = Fl^2/V - Fl/L + V*((-R*(1-Dc-Dk)*L^(-R-2))/Z+((1-Dc-Dk)^2*L^(-2*R-2)*R)/Z^2+2*Bll/L^2) gen Fck = (Fc*Fk)/V + V*((R*Dc*Dk*C^(-R-1)*K^(-R-1)/Z^2)+Bck/(C*K)) gen Fcl = (Fc*Fl)/V + V*((R*Dc*(1-Dc-Dk)*C^(-R-1)*L^(-R-1)/Z^2)+Bcl/(C*L)) gen Fkl = (Fk*Fl)/V + V*((R*Dk*(1-Dc-Dk)*K^(-R-1)*L^(-R-1)/Z^2)+Bkl/(K*L)) matrix H = (0,Fc,Fk, Fl\Fc, Fcc, Fck,Fcl\Fk,Fck,Fkk,Fkl\Fl,Fcl,Fkl,Fll) gen detH = det(H) matrix Hck = (0,Fc,Fl\Fk,Fkc,Fkl\Fl,Flc,Fll) gen detHck = det(Hck) gen sigma_ck = ((C*Fc+K*Fk+L*Fl)/(C*K))*(-detHck/detH) summarize sigma_ck post `1' (r(mean)) (r(Var)) end -----Original Message----- From: Nick Cox [mailto:n.j.cox@durham.ac.uk] Sent: Wednesday, October 16, 2002 12:40 PM To: statalist@hsphsun2.harvard.edu Subject: st: RE: Including a matrix in a monte carlo simulation Nevo, Dorit > > I'm trying to calculate the determinant of a matrix within > a Monte Carlo > simulation program. The matrix takes variables that are > calculated in > previous steps in the program. > > The specific command I included is: > matrix H = > (0,Fc,Fk,Fl\Fc,Fcc,Fck,Fcl\Fk,Fck,Fkk,Fkl\Fl,Fcl,Fkl,Fll) > gen detH = det(H) > > Fc, Fk, etc are calculated earlier in the program file. > > However - I get an error message "Fc not found" Stata won't allow you to insert a whole variable in this position, even if it only obtains one observation. The strange message is emitted because Stata is prepared to put named scalars in like this, but evidently you have no scalar named -Fc-. You can specify Fc[1] or whatever to insert particular values for a variable. On the whole it seems likely that it would be much better style and more efficient for the upstream calculation to produce scalars, not variables, but in the absence of most of your code, that's a guess. But you _are_ putting a determinant -- one number -- in the new variable -detH-, and that is not necessary on the face of it. What might make sense to loop around roughly like this gen detH = . forval i = 1 / whatever { do some stuff form the matrix H qui replace detH = det(H) in `i' } Nick n.j.cox@durham.ac.uk * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: RE: RE: Including a matrix in a monte carlo simulation***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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