Stata 15 help for _sep_varsylags

Title

[TS] _sep_varsylags -- Return the lag structure of varlist

Syntax

_sep_varsylags varlist

Description

_sep_varsylags parses out and saves off the lag structure of a varlist.

Stored results

_sep_varsylags stores the following in r():

Macros r(vars) contains the varlist of base variables. Base variables may contain time-series operators. The lag structure for each base variable is stored in r(lags).

r(lags) contains a colon-separated list of the lags for each base variable.

r(newlist) contains an equivalent version of the original varlist. The newlist has the structure broken out for each base variable.

Matrices r(lagsm) contains the lag structure of the base variables. For each base variable, there is a row in r(lagsm). There are mlag columns in r(lagsm), where mlag is the longest lag over all the base variables. If element i,j in r(lagsm) is 0, then the coefficient on lag j of the ith variable was not estimated. If element i,j in r(lagsm) is 1, then the coefficient on lag j of the ith variable was estimated.


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