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Re: st: Extract sample start/end dates of time series regression?


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Extract sample start/end dates of time series regression?
Date   Sat, 07 Nov 2009 14:39:16 -0500

Thanks, Austin: -summarize ..., meanonly-, with reference to r(min) and r(max), does the trick. D'oh -- should have thought of that myself!

To close this thread: since I need local macros in Stata date format for my application (which, unlike the toy example below, uses monthly data), I have done something like the following:

foreach c in local cc {

    ... // Estimation here

    summ date if e(sample), meanonly
    local Tbeg_`c' : disp %tm r(min)
    local Tend_`c' : disp %tm r(max)

    ... // More analysis here, using the start/end date macros

}

Additional thanks to Martin Weiss for earlier insight into the proper syntax for the extended macro function -display- used above: <http://www.stata.com/statalist/archive/2009-06/msg00318.html >.

Best,
Mike


On Nov 7, 2009, at 12:39 PM, Austin Nichols wrote:

Like this, maybe?

use http://www.stata-press.com/data/r11/pennxrate.dta, clear
egen i=group(country), label
su i, mean
g low=.
g high=.
qui forv i=1/`r(max)' {
reg lnrxrate L.lnrxrate if i==`i'
su year if e(sample), mean
replace low=r(min) if i==`i'
replace high=r(max) if i==`i'
}
bys i:g byte f=_n==1
li i low high if f==1, noo clean

--could also put in a matrix or locals, but may be easier to have in
variables for later reference via tin() etc.


On Sat, Nov 7, 2009 at 12:24 PM, Michael Hanson <mshanson@mac.com> wrote:
I have a series of regressions that I am estimating country-by- country, using a -foreach- loop. (The data are organized wide; this is to produce a table of cross-country results, not for a panel estimation.) The sample for each country, however, has potentially different start and end dates, and I would like to somehow extract these dates from the estimates as I loop through them. Ideally, I'd like to place the dates either in a matrix or (better) a series of local macros so that I can (1) list the start/ end dates of each country's estimates in a custom-made table of results, and (2) reference them with -tin()- function calls for post-processing of the data
country-by-country.

Unfortunately, I have had no luck figuring out how to do this in Stata. This kind of information is readily available in packages designed from the ground up for time series analysis (RATS and EViews come to mind), but I'd like to stay in Stata if possible. Suggestions are welcome; below is an artificial example that gets at the issue. In it, I would like to return values that identify the sample start (`Tbeg') and end (`Tend') dates as
follows:

country    Tbeg     Tend
AFG        1971     2003
ANT        1972     2003
ARE        1971     2001


// Begin sample code

use http://www.stata-press.com/data/r11/pennxrate.dta, clear
keep in 1/102
keep country year lnrxrate
reshape wide lnrxrate, i(year) j(country) string
replace lnrxrateANT = . in 1
replace lnrxrateARE = . in -2/l

tsset year

local cc AFG ANT ARE
foreach c of local cc {
       reg lnrxrate`c' L.lnrxrate`c'
       gen smpl`c' = e(sample)
}

list year smpl* in 1/3
list year smpl* in -3/l

// End sample code


Thanks,
Mike
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