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st: RE: Re: PDLs


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: PDLs
Date   Mon, 24 Feb 2003 12:28:28 -0000

Kit Baum
>
> > 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.
>
> One thing _did_ change in v7 since that posting. In the meanwhile,
> StataCorp thoughtfully added a built-in command mat_put_rr (help
> mat_put_rr) which will allow one to do what I said I could
> not do above.
> Unfortunately, the press of time and lack of need to use
> PDLs in my own
> work has prevented me from writing the routine. Given this
> new command and
> a textbook description of PDLs, it would now not be hard to
> do so. I
> presume that the same facility exists in v8 (it doesn't run on this
> machine).

mat_put_rr is there in 8 and documented in [P].

Nick
n.j.cox@durham.ac.uk

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