RE: st: calling the value of a scalar into a variable

[Ernest Berkhout <ernestb@seo.fee.uva.nl>]

At 12:36 6-10-2003, you wrote:
> Stata users,
>  I have a small problem that I am sure can be solved by you experts. I am 
> running some dickey fuller test, and computing my own Akaike Information 
> criteria or Scharwtz Information Criteria. I saved the results of these 
> in a scalar.
>   I want to ask stata to create a variable that computes the minimum of 
> the AIC or SIC and return the value in that variable, rather than me 
> cheking it from the screen everytime.  Can anybody help please? I am 
> copying the loop file below.
>
> local z "1 2 3 4 5 6"
>
> foreach x of local z{
>
> regress D.netpremmean L.netpremmean L`x'D.netpremmean
> matrix   b`x'=get(_b)
> scalar   AIC`x'=log(_result(4)/_result(1))+(colsof(b`x')/_result(1))*2
> scalar 
> SIC`x'=log(_result(4)/_result(1))+(colsof(b`x')/_result(1))*log(_result(1))
> }
> scalar list
>
>
>  So rather than calling  scalar list and looking at the screen, I want a 
> variable that stores the min of  AIC and SIC so that I can see it in the 
> data editor. I want to do that because at some point I would need to loop 
> that over many series.
One approach could be to create a dataset within your loop, recording in 
one variable the number of lags you include (`x' that is) and in the second 
and third the matching AIC`x' and SIC`i'. As far as I know -but that 
knowledge might still be superseded by more experienced programmers- that 
might best be done using 'postfile'.

postfile myhandle lags aic sic using adftests, replace
forvalues x = 1/6 {
        regress D.netpremmean L.netpremmean L`x'D.netpremmean
        matrix  b`x'=get(_b)
        scalar  AIC`x'=log(_result(4)/_result(1))+(colsof(b`x')/_result(1))*2
        scalar 
SIC`x'=log(_result(4)/_result(1))+(colsof(b`x')/_result(1))*log(_result(1))
        post myhandle (`x') (AIC`x') (SIC`x')
        }
postclose myhandle

This should give you a dataset adftests.dta with the values you want. From 
there it is easy to detect the minimum value of a variable using normal 
Stata functions for generate and/or egen.


Ernest Berkhout
SEO Amsterdam Economics
University of Amsterdam

Room 3.08
Roetersstraat 29
1018 WB Amsterdam
The Netherlands

tel.:+ 31 20 525 1657
fax:+ 31 20 525 1686
http://www.seo.nl
===========================
A statistician: someone who insists
on being certain about uncertainty
===========================

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