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Re: st: Program to simulate AR(1) time series and return autocorrelations


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Program to simulate AR(1) time series and return autocorrelations
Date   Fri, 24 Feb 2012 23:59:59 +0000

You can't put a matrix into a value of a variable.

Nick

On Fri, Feb 24, 2012 at 7:02 PM, brandon lebeau <lebebr01@gmail.com> wrote:
> I am attempting to write a program that simulates an AR(1) time series
> using the sim_arma command
> and computes autocorrelations with the corrgram function.  I'm having
> difficulties accessing the stored
> results from the corrgram function, specifically the matrix r(AC).I
> have also tried just accessing r(ac1),
> r(ac2), etc. and that works, but does not work when I try to use the
> simulate command.
>
> Here is my program so far:
>
> program define simarmaT, rclass
>   sim_arma simy, nobs(20) arcoef(.45) time(time) spin(2000)
>   tsset time
>   corrgram simy, lags(13) noplot
>   return matrix autoC = r(AC)
> end
>
> Then I'd like to use the simulate function to replicate this about
> 10,000 times.
> Here is a version of my simulate command:
>
> simulate autoC = r(AC), reps(20): simarmaT
>
>
> I'm hoping their is a simple solution to this as I'm a new user to
> Stata, I primarily use R,
> but need to replicate my simulation done in R with another program.

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