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st: RE: recursively defined variables


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: recursively defined variables
Date   Thu, 15 Sep 2005 21:50:13 +0100

This notation I understand to mean 

xt    -> x at time t 
xt-1  -> x at time t - 1
x1    -> x at time 1

If so, you initialise 

gen x = z in 1 

and then you replace 

replace x = b * x[_n-1] + z in 2/l 

where I guess b is a place-holder 
for a number you know and note that 
"l" stands for "l"ast. 

The principle is given by the title
of a useful Stata Tip by Roger Newson: 

generate and replace use the current sort order. 
Stata Journal 4(4):484--485 (2004)

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

bpersson@bu.edu
 
> I was wondering if anybody could help me to define a variable
> recursively in stata? That is, I would like define each observation x
> as the sum of a flow variable, z, and the lagged x variable,
> discounted by a factor b:
> 
> xt = zt + b*xt-1
> 
> The three first x variables would then be:
> 
> x1 = z1
> 
> x2 = z2 + b*z1
> 
> x3 = z3 + b*z2 + b^2*z1
> 
> and so on).
> 

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