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Re: RE: st: ETA Stata 12.0


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: ETA Stata 12.0
Date   Fri, 08 Apr 2011 10:03:41 -0400

Charles,
    Thanks for your helpful suggestions. By the way, I find your web page links
concerning time dilation, dark matter, gravitational lensing, etc. quite fascinating.
I have since I was a teenager found the Lorenz transformation a source of
great interest in understanding the limits of space travel.
    Cheers,
        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: Charles Koss <hqtiger@gmail.com>
Date: Friday, April 8, 2011 8:55 am
Subject: Re: RE: st: ETA Stata 12.0
To: statalist@hsphsun2.harvard.edu

> 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 <bob.yaffee@nyu.edu> 
> 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 <jbw-appraiser@earthlink.net>
> > Date: Thursday, April 7, 2011 11:48 am
> > Subject: RE: st: ETA Stata 12.0
> > To: statalist@hsphsun2.harvard.edu
> >
> >> 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: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Charles 
> Koss
> >> Sent: Thursday, April 07, 2011 7:22 AM
> >> To: statalist@hsphsun2.harvard.edu
> >> 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
> >> <eric.de_souza@coleurope.eu> 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: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Charles 
> Koss
> >> > Sent: 06 April 2011 21:17
> >> > To: statalist@hsphsun2.harvard.edu
> >> > 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
> >> <david.airey@vanderbilt.edu> 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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