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re: st: ADF simulation


From   "Sascha O. Becker" <[email protected]>
To   [email protected]
Subject   re: st: ADF simulation
Date   Fri, 9 May 2003 20:22:47 +0200 (MEST)

Dear Philippe,

thanks al lot for your reply. This is probably the reason why...
Greetings to Luxemburg, Sascha


> Sascha,
> 
> I believe it is because `1' is set by -simul-. When running -adfsim- as a 
> standalone program, without arguments, `1' is empty and the -post- 
> expression is then invalid. 
> 
> If you remove the brackets around r(..), stata looks for an open postfile 
> handle named r, that it does not find, thence the other error message.
> 
> For testing, I guess you'd rather comment out the -post- statement.
> 
> Hope this helps,
> 
> Philippe
> 
> >>>>>>>>>>>>>>>>>>>>>>>>
> 
> st: ADF simulation
> 
> From: "Sascha O. Becker" <[email protected]>
> Subject: st: ADF simulation
> Date: Fri, 9 May 2003 11:43:02 +0200 (MEST)
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> 
> Dear statalisters,
> 
> I have written some code as a basis for simulating the properties of ADF
> test statistics (following the burn-in method, as Jeff Pitblado called it 
> a day
> ago) and am getting blind in understanding why I get an error message. 
> When I
> run the following code (i.e. doing a 1-replication-"simulation" by 
> invoking
> the below program just once without using the simul command), I get as 
> error
> message: 
> 
> ( invalid name
> 
> When I leave out the brackets round r(Zt), I get the message
> 
> post r not found
> 
> So, it seems Stata does not recognize the expression r(Zt).
> Strangely though, when I run a true simulation, i.e. I type
> 
> simul adfsim3, reps(2000)
> 
> I get no error message...
> 
> Does the post stuff only work together with simul or should it also post 
> the
> DF statistics when just invoking adfsim3 "by hand"? Even if this 
> presumption
> were true, why is the error message  "( invalid name" respectively "post r
> not found" and not something else?
> 
> Thanks in advance for any suggestion you might have on this.
> 
> Ciao, Sascha
> 
> 
> 
> **************
> BEGIN OF CODE
> **************
> 
> program define adfsim3
>    version 7.0
>    if "`1'"=="?" {
>           global S_1 "dfull"
>           exit
>    }
>    /* args b1 b2 keep burn sigma */
>    *args keep burn
>    /* read in: b1    /* coefficient on time trend */
>                 b2    /* coefficient on AR(1) term */
>                 keep  /* #obs to be kept after all, i.e. length of the 
> time
> series after simulation */
>                 burn  /* #obs to be burnt after all */
>                 sigma /* standard error */ */
>    local keep 50
>    local burn 100
>    local obs = `keep' + `burn'
>    * drop all variables in memory
>    drop _all
>    * SET NUMBER OF OBSERVATIONS
>    set obs `obs'
>    * DRAW RANDOM NUMBERS FROM N(0,sigma) */
>    * generate double mynormal= `sigma' * invnorm(uniform())
>    generate double mynormal= se * invnorm(uniform())
>    generate time=_n - `burn'
>    tsset time
>    * use the first entry in mynormal as a y(0) and the rest as epsilons
>    generate double y=mynormal in 1 
>    * NOTE: replace works recursively !!
>    replace y=1+b1*time+b2*l.y+mynormal in 2/`obs' 
>    * keep the last `keep' obs, i.e. the desired length of the time series 
>    keep in -`keep'/l 
>    * perform Dickey-Fuller: constant is used as default, otherwise option
> "noconstant"
>    dfuller y, lags(1) trend
>    post `1' (r(Zt))
> end
> 
> adfsim3
> 
> **************
> END OF CODE
> **************
> 
> 
> Dr. Sascha O. Becker - Center for Economic Studies
> Department of Economics - University of Munich
> Schackstr. 4 - 80539 Munich, Germany
> 
> 
> 
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