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st: RE: RE: RE: RE: RE: RE: RE: RE: Foreach Command in Panel Data


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: RE: RE: RE: RE: RE: Foreach Command in Panel Data
Date   Wed, 29 Sep 2010 16:41:48 +0100

I have never used -fcast- but I imagine that 

fcast compute f_, step(3) if xticker==`xticker'

should be 

fcast compute f_ if xticker==`xticker', step(3) 

as -if- qualifiers are not options so far as Stata is concerned. 

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

Degas Wright

Thank you for the reference to 8/05 FAQ and it worked great for
calculating the var for my dataset. A follow on question, I have been
unsuccessful getting the fcast command to work. I have tried
incorporating it into the original forvalue step and doing a separate
forvalue step but neither works.

. forvalues xticker=1/`r(max)'{
.   var r ep mom if xticker==`xticker'
.}

Works fine, however; when I do the following:

. forvalues xticker =1/`r(max)'{
.    fcast compute f_, step(3) if xticker==`xticker'
.}

I get the following error:

Invalid syntax r(198)

I need to perform the var step first and then I can use the fcast
command.  Also, to address your question on collating the results - I
will upload the xtickers, forecasted values (f_r), dates into another
software package to run backtests on how well the forecasted values
perform in a portfolio selection process.


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