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


From   "Degas Wright" <dwright@cornerstoneadvice.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: RE: RE: RE: RE: RE: RE: RE: RE: Foreach Command in Panel Data
Date   Thu, 30 Sep 2010 00:32:44 -0400

Steve,
You are correct it is not in the help file.  I am trying the command levelsof to create a macro containing all the values that identify the panels and then run a loop restricting the sample to each panel. 

Thanks,

Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia  30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steve Samuels
Sent: Wednesday, September 29, 2010 11:54 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: RE: RE: RE: RE: RE: RE: RE: RE: Foreach Command in Panel Data

I don't see it in the -help- for -fcast-  in Stata Version 11.1.
Where do you see it documented?


Steve


On Wed, Sep 29, 2010 at 4:54 PM, Degas Wright
<dwright@cornerstoneadvice.com> wrote:
> Nick,
> Unfortunately when I tried moving the if statement I get the following:
>
> . forvalues xticker=1/`r(max)'{
> . fcast compute f_ if xticker==`xticker'
> }
>
> if not allowed
>
> Is it possible that the fcast command does not allow if statements? I
> understand that you have not used this command before but is there an
> alternate way to handle this loop?
>
> Again thanks for your input.
>
> Degas A. Wright, CFA
> Chief Investment Officer
> Decatur Capital Management, Inc.
> 250 East Ponce De Leon Avenue, Suite 325
> Decatur, Georgia  30030
> Voice: 404.270.9838
> Fax:404.270.9840
> Website: www.decaturcapital.com
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: Wednesday, September 29, 2010 11:42 AM
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: st: RE: RE: RE: RE: RE: RE: RE: RE: Foreach Command in Panel
> Data
>
> 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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