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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 * * 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/

**References**:**st: Re: PDLs***From:*Kit Baum <kitbaum@mac.com>

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