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From |
Robson Glasscock <glasscockrc@vcu.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 24 Feb 2012 22:35:20 -0500 |

Brandon, I think the code below should do it. It records each element in the AC matrix for each iteration. Admittedly, the code is clunky so there are no style points for me tonight. program define simarmat, rclass drop _all tempvar simy sim_arma simy, nobs(20) arcoef(.45) time(time) spin(2000) tsset time corrgram simy, lags(13) noplot tempvar ac tempvar q1 tempvar q2 tempvar q3 tempvar q4 tempvar q5 tempvar q6 tempvar q7 tempvar q8 tempvar q9 tempvar q10 tempvar q11 tempvar q12 tempvar q13 matrix ac = r(AC) return scalar q1= ac[1,1] return scalar q2= ac[1,2] return scalar q3= ac[1,3] return scalar q4= ac[1,4] return scalar q5= ac[1,5] return scalar q6= ac[1,6] return scalar q7= ac[1,7] return scalar q8= ac[1,8] return scalar q9= ac[1,9] return scalar q10= ac[1,10] return scalar q11= ac[1,11] return scalar q12= ac[1,12] return scalar q13= ac[1,13] end simulate q1= r(q1) q2=r(q2) q3= r(q3) q4= r(q4) q5= r(q5) q6=r(q6) q7= r(q7) /// q8= r(q8) q9= r(q9) q10= r(q10) q11= r(q11) q12=r(q12) q13= r(q13), reps(20): simarmat, obs(20) best, Robson Glasscock On Fri, Feb 24, 2012 at 6:59 PM, Nick Cox <njcoxstata@gmail.com> wrote: > 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. > > * > * 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/

**References**:**st: Program to simulate AR(1) time series and return autocorrelations***From:*brandon lebeau <lebebr01@gmail.com>

**Re: st: Program to simulate AR(1) time series and return autocorrelations***From:*Nick Cox <njcoxstata@gmail.com>

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