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st: Cumulative Response functions


From   Felipe Balmaceda <fbalmace@dii.uchile.cl>
To   statalist@hsphsun2.harvard.edu
Subject   st: Cumulative Response functions
Date   Tue, 14 Mar 2006 17:30:15 -0400

Dear collegues;

I am trying to calculate cumulative response functions and obtain its standard deviation. I wrote the program below up to 25 periods to get them. The problem that I am having is that predictnl Bt takes Bt-1 as a fixed value and not as a random variable. nlcom does the same thing. How can I do it so that predictnl or nlcom assume that Bt-1 is a function and not a fixed value.

Does someone knows another way doing this.

thanks a lot to everyone

quietly xtreg dgas enap1 gas1 tiempo inc des inc1-inc6 des1-des6 gasinc1 gasdes1,fe robust cluster(est)

predictnl LR = (_b[enap1]/_b[gas1])*(-1), se(seLR) ci(LLR ULR)
list LR seLR LLR ULR in 1
predictnl B0 = (_b[inc]), se(seB0) ci(LB0 UB0)
list B0 seB0 LB0 UB0 in 1
predictnl B1 = B0+_b[inc1]+_b[gasinc1]*B0+_b[gas1]*(B0-LR), se(seB1) ci(LB1 UB1)
list B1 seB1 LB1 UB1 in 1
predictnl B2 = B1+_b[inc2]+_b[gasinc1]*(B1-B0)+_b[gas1]*(B1-LR), se(seB2) ci(LB2 UB2)
list B2 seB2 LB2 UB2 in 1
predictnl B3 = B2+_b[inc3]+_b[gasinc1]*(B2-B1)+_b[gas1]*(B2-LR), se(seB3) ci(LB3 UB3)
list B3 seB3 LB3 UB3 in 1

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