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Re: st: Saving simulation runs


From   John Antonakis <john.antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Saving simulation runs
Date   Sun, 10 Oct 2010 00:20:32 +0200

OK....thanks Stas!

Have a good weekend,
John.

__________________________________________

Prof. John Antonakis, Associate Dean
Faculty of Business and Economics (HEC)
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
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Home page:
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__________________________________________


On 09.10.2010 16:12, Stas Kolenikov wrote:
On Sat, Oct 9, 2010 at 5:41 AM, John Antonakis<john.antonakis@unil.ch>  wrote:
My code here, which seemed to work fine before, stopped working (I am sure
that I did not change it, though can't find anything wrong with it).

***************************************
clear
capture program drop sim
  version 11.1
program define sim, rclass
        drop _all
syntax , nobs(integer )
set obs `nobs'

gen x1 = rnormal()
gen x2 = 2*x1 + .1*rnormal()
gen y = x1 + x2 + rnormal()
reg y x1 x2
end

mat b=e(b)
* if there were no estimation results in the memory, this would break down
* with an error message "estimates not found"

mat save = b
* and if that is the case, this will break down with error message
* "matrix b not found"

foreach nobs of numlist 100(100)1000 {
simulate _b _se, reps(100) seed (123) : sim, nobs(`nobs')
mat b=e(b)
mat save = save \ b
}

mat list save
***************************************

Also, how would I save the mean of the standard errors, along with the mean
of the coefficients, from each of the monte carlo runs?
Collecting results in matrices is cumbersome. Looks like a port of
code from R or Matlab. Stata has an appropriate mechanics for
simulations with -post-. Read the help file, you can post anything you
like. I usually collect the expressions I need like:

program define PreparePost, rclass
    * receives the data in memory
    reg y x1 x2
    foreach x in _cons x1 x2 {
       local temp _b[`x']
       local topost `topost' (`temp')
       local temp _se[`x']
       local topost `topost' (`temp')
    }
    return local `topost'
end

and then within my simulation code, I would have something like

forvalues r=1/`reps' {
    PrepareData
    PreparePost
    post<handle>  `r(topost)'
}

Computing means is a post-simulation task, but you can add a few lines
to the -PreparePost- if you need to.

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