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Re: st: How to add Q stats from -wntestq- to -esttab- table (hopefully with -estadd-)


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to add Q stats from -wntestq- to -esttab- table (hopefully with -estadd-)
Date   Sat, 17 Sep 2011 18:07:03 -0500

Oh, I see now. This is actually a subcommand of -estadd- (very much
like there are subcommands of say -egen-). I was not aware of this
functionality of -estadd-. I take it back, you should be fine.

On Sat, Sep 17, 2011 at 10:27 AM, Richard Herron
<richard.c.herron@gmail.com> wrote:
> I am following the example for writing your own -estadd- subroutine
> that I found here:
> http://repec.org/bocode/e/estout/estadd.html#estadd007
>
> Repec.org shares the associated .do file here:
> http://repec.org/bocode/e/estout/estadd007b.do
>
> On Fri, Sep 16, 2011 at 20:01, Stas Kolenikov <skolenik@gmail.com> wrote:
>> On Fri, Sep 16, 2011 at 2:51 PM, Richard Herron
>> <richard.c.herron@gmail.com> wrote:
>>> @Stas -- Thanks for the pointers! I used -estadd- because I wanted to
>>> quickly estimate the models and generate the table, although after
>>> each estimation I added several lines to find Q, which made it very
>>> clunky.
>>>
>>> I learned enough Stata programming to write my own -estadd- function to add Q.
>>>
>>> * ----- begin code -----
>>> * my -estadd- function to calculate Box-Ljung Q
>>> capture program drop estadd_Q
>>> program estadd_Q, eclass
>>>    tempname residuals
>>>    predict `residuals', residuals
>>>    wntestq `residuals'
>>>    ereturn scalar Q = r(stat)
>>> end
>>>
>>> * get data
>>> webuse friedman2, clear
>>> generate ln_m1 = ln(m1)
>>>
>>> * make some models
>>> eststo clear
>>> eststo: quietly arima DS4.ln_m1, ar(1) ma(2)
>>> eststo: quietly arima DS4.ln_m1, ar(1) ma(1/2)
>>> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(2)
>>> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(1/2)
>>> estadd Q : *
>>>
>>> * and create tables with -esttab-
>>> esttab, stats(aic bic Q) noobslast nomtitles
>>> * ----- end code -----
>>>
>>> It works! Any other suggestions? Thanks!
>>
>> I am not sure what you mean by "it works". The larger chunk of code
>> you provided does not actually use -estadd_Q-. More importantly,
>> -eclass- programming (commands that represent parameter estimation
>> routines) has a number of requirements that your program does not
>> satisfy. See [P] ereturn. (To put it informally, you are playing with
>> fire here :) ).
>>
>> --
>> Stas Kolenikov, also found at http://stas.kolenikov.name
>> Small print: I use this email account for mailing lists only.
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

*
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