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From |
pascalstock@freenet.de |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: Programming an iterative regression with converging parameters |

Date |
Fri, 15 Aug 2008 09:26:07 +0200 |

I forgot to ask how to set the constraints that r,g>0 as negative returns and rates of growth do not make sense. Help is highly appreciated Kind regards Pascal > -----Ursprüngliche Nachricht----- > Von: pstock@rumms.uni-mannheim.de > Gesendet: Fr. 15.08.08 (07:51) > An: statalist@hsphsun2.harvard.edu > Betreff: st: Programming an iterative regression with converging parameters > > Hello STATA users, > > I am new to STATA and have to replicate a paper by Easton, Taylor, > Shroff, Soughiannis (2002) about the implicit calculation of the > implied cost of capital r. The problem is that the proxy for the > dependent variable X_cT is caluclated with r, while r itself is to be > > estimated from the regression coefficients. They note that an initial > > r=0.12 or 12% is used to calculate X_cT. Then it is used as dependent > > variable to run the first regression. From the resulting intercept > and > regression coefficient the r and growth rate g are calculated. The > new > r is used as revised estimate of the implied cost of capital r to > recalculate X_cT. The regression is run again and the process of > estimating r from the coefficients, and recalculating X_cT starts all > > over. The logic is simple and straight forward - the programming for > a > rookie is not. Reading about STATA Programming I guess that a loop > using the while command is needed, with the iterative regression to > stop when the r from the previous run and the new r are so close as > not changing matterially. I used r_`j'-r_`i'>0.0001 as indicator to > continue with the loop, as the "true" condition. Also r must be > positiv, whereas the forth root can be negative, but is economic > meaningless. How to program constraints I do not know - sounds like > MATA-rogramming then. So I tried it first without the constraints. > Maybe the nl command could work. > > Here is my do file, and when executing it I even do not get an error > > message, neither results, not anything: > > clear > set memory 50m > use "C:Usersstock.GESSDesktopIBES > DatensatzData_replication_study_1_X_cT.dta" > preserve > generate r_1=0.12 > generate > X_cT_1=x1 x2 x3 x4 [(1 r_1)^3-1]*d0 [(1 r_1)^2-1]*d0 [(1 r_1)-1]*d0 > generate depvar=X_cT_1/B0 > local i=1 > forvalues i=1/100 { > local j=1 > while r_`j'-r_`i'>0.001 { > replace r_`i'=r_`j' > replace > X_cT_`i'=x1 x2 x3 x4 [(1 r_`i')^3-1]*d0 [(1 r_`i')^2-1]*d0 [(1 r_`i')-1]*d0 > replace depvar=X_cT_`i'/B0 > regress depvar indvar > generate g_`i'=(_b[_cons] 1)^(1/4)-1, replace > generate r_`j'=(_b[indvar] (_b[cons] 1))^(1/4)-1, replace > } > } > save Data_replication_study_1_X_cT_1.dta > describe > summarize > estimates save regression_1, replace > estimates tab > > Any suggestions hw to program such a process are highly appreciated. > > Kind regards > > Pascal Stock > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > > -----Ursprüngliche Nachricht Ende----- Unbegrenzter Speicher, Top-Spamschutz, 120 SMS und eigene E-MailDomain inkl. http://office.freenet.de/dienste/emailoffice/produktuebersicht/power/mail/index.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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