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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: AW: AW: getting results in simulate with loop |

Date |
Tue, 2 Mar 2010 14:41:03 +0100 |

<> My -program- generates a new dataset at every "outer" iteration, i.e. after the 100 loop iterations are finished, which may or may not be what you want. Drag the "drop to gen" lines out of the -prog- to operate on the same dataset for all iterations. HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Martin Weiss Gesendet: Dienstag, 2. März 2010 14:21 An: statalist@hsphsun2.harvard.edu Betreff: st: AW: getting results in simulate with loop <> Try: ************* capt prog drop myprog pr myprog,rclass vers 10.1 drop _all set obs 10000 gen x=rnormal() gen y=2+4*x+rnormal() /* begin -postfile- */ tempname hdle tempfile info postfile `hdle' number tofx /* */ using `info' qui forv i=1/100{ reg y x if runiform()<.7 post `hdle' (`i') (_b[x]/_se[x]) } postclose `hdle' u `info', clear sort tofx keep in 1 /* end -postfile- */ ret sca min=tofx ret sca minnum=number end simulate min=r(min) minnum=r(minnum), reps(50): myprog list, noo h(30) ************* HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Maximiliano Méndez Parra Gesendet: Dienstag, 2. März 2010 13:37 An: statalist@hsphsun2.harvard.edu Betreff: st: getting results in simulate with loop Here is my problem. I am performing a Monte Carlo experiment. Inside each replication (5000) set by the simulate command, there exists a loop that performs 100 regressions using different model definitions. The program was designed to choose the minimum t-stat/F-values of each of the 100 regressions. Therefore, at the end, I will have a distribution with 5000 minimum values of t-stat/F-values. I am interested in knowing for each of the 5000 replication in which of the 100 regressions the minimum t-stat was found. I am evaluating two alternatives 1. Get at the end of the simulation for each minimum t and associated value for the regression in each of the 5000 replications (Do not know how). This will be ideal but I have tried to capture that using scalars trying to identify that moment. The problem is that if statements do not work with scalars. 2. Save the intermediate results of each of the sets of 100 regressions for later analysis. I am using the postfile command to get the minimum t-stats/F-stats. The problem is that after running the 5000 simulations, I am getting just the intermediate results of the last replication. It is replacing the values obtained in the previous. So I only get the 100 t-stats of the last replication. There is no possibility of using append in postfiles. Can anybody help me? Maybe you have an alternative way of doing what I want. Thanks in advance. My program looks like this program seascrit1, rclass version 10.0 drop _all tempname sim postfile `sim' timeb1 results,replace More commands... forvalues i=1/100{ More commands... reg XXX YYY ZZZ TTT.... test YYY TTT scalar Fa`i'=r(F) scalar ba`i' = (_coef[YYY])/_se[YYY] scalar bb`i' = (_coef[l.z2t])/_se[l.z2t] scalar timeb`i'=_n post `sim' (tb) (timeb`i') (ba`i') (shift) } *end of loop postclose `sim' return scalar b1 = min(ba1-ba100) scalar drop _all end simulate b1=r(b1), reps(5000) : seascrit1 -- Maximiliano Méndez Parra maximilianomp@gmail.com * * 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/ * * 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/ * * 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/

**References**:**st: getting results in simulate with loop***From:*Maximiliano Méndez Parra <mm273@sussex.ac.uk>

**st: AW: getting results in simulate with loop***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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