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# st: Re: save coeff estimators of Arima model with foreach

 From "Martin Weiss" To Subject st: Re: save coeff estimators of Arima model with foreach Date Thu, 12 Mar 2009 00:59:17 +0100

```<>

see -h rolling- (and -estimates store- and -ssc d eststo- and -h postfile-)

HTH
Martin
_______________________
```
----- Original Message ----- From: "Hua Pan" <panhua@gmx.de>
```To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, March 11, 2009 11:42 PM
Subject: st: save coeff estimators of Arima model with foreach

```
```Hi statalisters,

```
I’m a beginner for Stata, and I have just a problem with it. I want to do a cross-sectional time series analysis with command “arima” and imput the estimator of “AR L1. Coefficient” of every panel data into the datasheet with the help of “foreach” and “levelsof”.
```
My Data looks like this:
gvkey      qtl         eps
1 2003q1        ….
1       2003q2        ….
1       2003q3        ….
...       …….
2       2003q1
2       2003q2
2       2003q3
…
gvkey:  identify-Nr. of firms (panel variable, long)
qtl:     quarter (time variable, float)
eps:    earnings per share (dependent variable, float)

So I’ve tried:

- generate AR =.
tsset gvkey qtl
levelsof gvkey, local(levels)
foreach l of local levels {
arima eps if gvkey == `l', arima(1,0,0) sarima(0,1,0,4)
replace AR = _b[ARMA:L1.ar] if gvkey == `l'
}

```
But it doesn’t seem to work. Time series analysis (Arima) hasn’t been done and all of AR are still missing value.
```I’m sure this is correct:
- arima eps, arima(1,0,0) sarima(0,1,0,4)
- replace AR = _b[ARMA:L1.ar]
I’ve tried it for data with one Observation (one gvkey)

```
I guess, there may be something wrong with foreach or levelsof, but I can’t find the error. Can anyone here give me any advice?
```Any help would be greatly appreciated. Thanks in advance for your time.
I’m using Stata version 10.1 SE (Windows).

Best Regards

Hua Pan
University of Cologne

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