Mingguo Lei ([email protected])
> how do i estimate Polynomial distributed lag model in
> Stata 7.0?
To a similar question Kit Baum replied on January 17, 2001,
> Assuming you mean polynomial distributed lags (Almon lags),
> no. This question came up last year; I looked into the
> possibility to implement same, and it is a nontrivial issue
> given the way Stata deals with constraints. That is, unlike
> e.g. RATS, you cannot do constrained least squares by
> supplying the matrix and vector which transforms the
> b-vector into the shorter constrained set (R b = r). You
> can write out the constraints, each one, with 'define
> constraint' and recover the matrix of constraints implied
> by them, but you can't stuff that matrix (to my
> knowledge; may have changed in Stata7, but I don't think
> so) and perform cnsreg. That makes it exceedingly clumsy
> to do something like Almon lags, which depend on a pattern
> in the constraint matrix (as any textbook indicates).
> It would be very easy to program if you could just whip up
> that matrix and stuff it into the place where Stata saves
> the constraints (and I would have already written that
> routine).
This may have changed in Stata 8 but I can't say, I use v.7.
Patrick Joly
[email protected]
[email protected]
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