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Re: RE: st: ETA Stata 12.0
From
Charles Koss <[email protected]>
To
[email protected]
Subject
Re: RE: st: ETA Stata 12.0
Date
Fri, 8 Apr 2011 07:54:27 -0500
Dr. Yaffee:
as a suggestion for your incoming book "An Introduction to Time Series
and Forecasting using Stata", I would say that the stata manual has
an outstanding documentation and very good examples that explain very
clearly the methodologies implemented, including vector autoregression
models. However, when it comes to structural vector autoregression
models, you could emphasize the construction of matrices A, B, and C;
that can be explained with an example that uses some basic economic
theory. In terms of the estimation procedures, the stata manual
provides outstanding documentation for vec models too.
The exposition of VAR models can be enriched with the discusion of
cointegrated VAR models, this topic could be another chapter on your
book.
Hope it helps and I will be glad to read y our book ,
Charles
--
Charles Koss
http://charlesonnet.blogspot.com
On Thu, Apr 7, 2011 at 11:53 AM, Robert A Yaffee <[email protected]> wrote:
> Jeff,
> I'm adding the vector autoregression and structural vector autoregression chapter now.
> I've been in charge of our NSF grant while my colleague has been recovering from surgery,
> so there has been a delay.
> Regards,
> Robert
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>
> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: Jeff <[email protected]>
> Date: Thursday, April 7, 2011 11:48 am
> Subject: RE: st: ETA Stata 12.0
> To: [email protected]
>
>> Speaking of which... When is Dr. Yaffee's book "An Introduction to Time
>> Series and Forecasting using Stata" due out?
>>
>> Jeffrey B. Wolpin
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Charles Koss
>> Sent: Thursday, April 07, 2011 7:22 AM
>> To: [email protected]
>> Subject: Re: st: ETA Stata 12.0
>>
>> Good to know. In addition to that, VECRANK command does not allow the
>> inclussion of seasonal terms as well as structural breaks either in
>> levels or trend.
>>
>> The following is worth reading about what is needed in Stata:
>> Yafee, R.A 2007. Stata 10 (Time Series and Forecasting). Journal of
>> Statistical Software. 23(1):1-18.
>> http://www.jstatsoft.org/v23/s01/paper
>>
>> In conclusion, it seems to me that Stata is heading to a different
>> market of researchers (stat. methods) than Eviews or Rats or open
>> source such as Jmulti or GRETL.
>>
>> Sincerely,
>>
>> Charles
>>
>> --
>> Charles Koss
>> http://charlesonnet.blogspot.com
>>
>>
>>
>> On Thu, Apr 7, 2011 at 3:29 AM, DE SOUZA Eric
>> <[email protected]> wrote:
>> > In this connection, cointegration tests can be done with the
>> introduction of stationary regressors (see Rahbek and Mosconi (1999),
>> Cointegration rank inference with stationary regressors in VAR models,
>> Econometrics Journal, which also refers to the relevant tables). -vec-
>> does not allow the introduction of exogenous variables. It should be
>> allowed with the mention that the critical values produced are not
>> valid.
>> >
>> > Also, -var- does not omit a variable when its coefficient is
>> constrained to zero. It produces a very tiny number instead (e-18 or
>> e-19) with standard errors and all the rest.
>> >
>> > Reference is to Stata 11.1
>> >
>> >
>> > Eric de Souza
>> > College of Europe
>> > Brugge (Bruges), Belgium
>> > http://www.coleurope.eu
>> >
>> >
>> > -----Original Message-----
>> > From: [email protected]
>> [mailto:[email protected]] On Behalf Of Charles Koss
>> > Sent: 06 April 2011 21:17
>> > To: [email protected]
>> > Subject: Re: st: ETA Stata 12.0
>> >
>> > Well well! Since starting to use Stata, I am very impressed how much
>> have learnt. Since we always want to purchase better products, I hope
>> Stata 12 can produce complete inference for Vector Error Correction
>> Models (vec command).
>> >
>> > Currently, Stata 10 and 11 can produce the estimates for the impulse
>> response functions but it CAN NOT estimate the corresponding standard
>> errors. So, those estimates are useless since WE DO NEED the standard
>> errors for interpreting the results STATISTICALLY. I was amazed to learn
>> that OPEN SOURCE software can do that job very efficiently. I would like
>> to see this feature in STATA 12.
>> >
>> > With this feature, I can convince myself and the administrators that
>> the purchase of Stata 12 is worthy, although version 11 is much better
>> than 10. If someone has information that contradicts my opinion, please
>> do share it. See:
>> > http://www.stata.com/statalist/archive/2011-03/msg01435.html
>> >
>> > Sincerely,
>> >
>> > Charles
>> >
>> > --
>> > Charles Koss
>> > http://charlesonnet.blogspot.com
>> >
>> > On Wed, Apr 6, 2011 at 12:55 PM, Airey, David C
>> <[email protected]> wrote:
>> >> .
>> >>
>> >> Personally, I would not mind getting another year out of Stata 11!
>> >>
>> >> -Dave
>> >>
>> >>
>> >>
>> >>> This was asked also on 17 March. See
>> >>>
>> >>> <
>> >>> http://www.stata.com/statalist/archive/2011-03/msg01113.html
>> >>> >
>> >>>
>> >>> The history of release dates is covered in
>> >>>
>> >>> <
>> >>> http://www.stata.com/support/faqs/res/history.html
>> >>> >
>> >>>
>> >>> You might like to build your model from the data....
>> >>>
>> >>> Here are two precedents from history:
>> >>>
>> >>> 1. Precisely when a release will be issued will be announced on this
>> >>> list (and also now on Facebook, Twitter, the Stata blog, etc.)
>> >>> perhaps a week before the actual date.
>> >>>
>> >>> 2. Precisely what will be included will also be announced then, and
>> not before.
>> >>>
>> >>> These of course are just my personal generalisations, and StataCorp
>> >>> might do things differently for the next release.
>> >>>
>> >>> Otherwise speculation might be fun, but it is also likely to be
>> >>> completely futile! As the Tao Te Ching says, more or less, those who
>> >>> know do not say; those who say do not know.
>> >>>
>> >>> (I don't know either, so any and all requests for private
>> information
>> >>> will also be futile.)
>> >>>
>> >>> Nick
>> >>
>> >> *
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>> >
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>> >
>>
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>>
>> *
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>
> *
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