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From |
Aaron Kirkman <ak1795mailserv@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 |
Wed, 7 Nov 2012 13:16:52 -0600 |

Hi Steve/Nick, Thank you to both of you for linking to this Stata Journal article. It clears up a few of the misconceptions I had, and changing the scalar name to something unambiguous, e.g. --sc_tstat-- solves the problem. Aaron On Tue, Nov 6, 2012 at 4:07 PM, Nick Cox <njcoxstata@gmail.com> wrote: > 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/ * * 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/

**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>

**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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