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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Why does this scalar calculation return the wrong value when using time series operators? |

Date |
Tue, 6 Nov 2012 22:07:43 +0000 |

A U.S.-based Stata friend privately queried "plumps for" as "British slang?" I wouldn't want to be obscure, so should spell out that "plumps for" means "chooses" in this context. Last I heard the language was called "English".... On Tue, Nov 6, 2012 at 9:45 PM, Nick Cox <njcoxstata@gmail.com> wrote: > The short answer is that your "scalar calculation" is no such thing. > You are asking to > > . di t > > -- thinking that scalar t will be displayed -- > > but Stata has three rules that together cause this to do something different. > > First off, variables and scalars share the same namespace. > > Second, if there's ambiguity Stata plumps for the variable name interpretation. > > Third, if asked to display a variable, -display- tries its best and > its best is varname[1], here t[1], here 1. > > See also > > SJ-6-2 dm0021 . Stata tip 31: Scalar or variable? Problem of ambiguous names > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G. I. Kolev > Q2/06 SJ 6(2):279--280 (no commands) > tips for avoiding abbreviation conflicts with variables > when naming scalars > > You're in very good company in being puzzled by this, as only a > concatenation of circumstances explains it all. > > Nick > > On Tue, Nov 6, 2012 at 9:25 PM, Aaron Kirkman <ak1795mailserv@gmail.com> wrote: > >> I'm performing a simple linear regression on time series data and >> calculating the t-statistic for coefficients afterwards. However, I >> noticed that when using time series operators, the t-statistic always >> calculates to be one, even though the values from the regression are >> correct. For example, this code: >> >> ---------- >> clear all >> >> set seed Xc0114d4971eea6310add269363d61a6d00042c5f >> local y0 0 >> set obs 200 >> quietly { >> gen y = . >> gen t = _n >> tsset t >> >> replace y = cond(t == 1, `y0', L.y + rnormal()) >> regress D.y L.y >> } >> >> di _b[L.y] >> di _se[L.y] >> di _b[L.y] / _se[L.y] >> >> scalar t = _b[L.y] / _se[L.y] // t = Beta / SE >> >> di t >> ---------- >> >> outputs the following: >> >> -.02092465 // _b[L.y] >> .01391362 // _se[L.y] >> -1.5038971 // _b[L.y] / _se[L.y] >> 1 // scalar "t" >> >> The first three numbers are the correct values from the regression, >> but the calculation for the t-statistic is incorrect. If I remove the >> time series operators from the code and instead refer to observations >> numbers (I would prefer to use time series operators, but just as an >> example), the resulting t-statistic is correct: >> >> ---------- >> clear all >> set seed Xc0114d4971eea6310add269363d61a6d00042c5f >> local y0 0 >> set obs 200 >> quietly { >> gen y = . >> gen ly = . >> gen dy = . >> >> replace y = cond(_n == 1, `y0', y[_n - 1] + rnormal()) >> replace ly = y[_n - 1] >> replace dy = y - ly >> >> regress dy ly >> } >> >> di _b[ly] >> di _se[ly] >> di _b[ly] / _se[ly] >> >> scalar t = _b[ly] / _se[ly] // t = Beta / SE >> di t >> ---------- >> >> This code outputs the correct t-statistic of -1.5038971 >> >> -.02092465 // _b[L.y] >> .01391362 // _se[L.y] >> -1.5038971 // _b[L.y] / _se[L.y] >> -1.5038971 // scalar "t" >> >> >> I read through "[U] 13.5 Accessing coefficients and standard errors" >> and --help scalar--, but I don't see anything in either of those >> manuals that would cause the problem. Any ideas? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Why does this scalar calculation return the wrong value when using time series operators?***From:*Aaron Kirkman <ak1795mailserv@gmail.com>

**References**:**st: Why does this scalar calculation return the wrong value when using time series operators?***From:*Aaron Kirkman <ak1795mailserv@gmail.com>

**Re: st: Why does this scalar calculation return the wrong value when using time series operators?***From:*Nick Cox <njcoxstata@gmail.com>

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