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st: RE: How do I estimate Polynomial distributed lag model(PDL) in Stata 7.0?


From   Joly.Patrick@ic.gc.ca
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: How do I estimate Polynomial distributed lag model(PDL) in Stata 7.0?
Date   Sun, 23 Feb 2003 09:48:38 -0500

Mingguo Lei (ccap_leimingguo@yahoo.com)
> how do i estimate Polynomial distributed lag model in
> Stata 7.0?

To a similar question Kit Baum replied on January 17, 2001,

> Assuming you mean polynomial distributed lags (Almon lags),
> no. This question came up last year; I looked into the
> possibility to implement same, and it is a nontrivial issue
> given the way Stata deals with constraints. That is, unlike
> e.g. RATS, you cannot do constrained least squares by
> supplying the matrix and vector which transforms the
> b-vector into the shorter constrained set (R b = r). You
> can write out the constraints, each one, with 'define
> constraint' and recover the matrix of constraints implied
> by them, but you can't stuff that matrix (to my
> knowledge; may have changed in Stata7, but I don't think
> so) and perform cnsreg. That makes it exceedingly clumsy
> to do something like Almon lags, which depend on a pattern
> in the constraint matrix (as any textbook indicates).
> It would be very easy to program if you could just whip up
> that matrix and stuff it into the place where Stata saves
> the constraints (and I would have already written that
> routine).

This may have changed in Stata 8 but I can't say, I use v.7.

Patrick Joly
joly.patrick@ic.gc.ca
pat.joly@utoronto.ca
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