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st: SETAR


From   Dirk Nachbar <[email protected]>
To   hklui <[email protected]>
Subject   st: SETAR
Date   30 Jun 2006 09:18:41 +0100

Samuel

unfortunately I am not working on the SETAR model at the moment.

below is a rudimentary Stata program which has to be debugged and finalised. Maybe someone from the list can help me and you. The array var at the end should store the variances of all possible models and then the one with lowest variance should be output.

good luck,

Dirk

/*

Program for Self-Exciting Threshold AutoRegressive model

*/

clear

set obs 100

gen time=_n

tsset time

gen y=0

replace y=(1+0.3*l.y)*(y>0)+(0+0.5*l.y)*(y<=0)+0.5*invnorm(uniform()) if time>1

line y time

capture program drop setar

program define setar

    version 8.2

    syntax varlist [if] [in], ar(int 1) steps(int 10)

    marksample touse

    qui count if `touse'

    if r(N) ==0 {

            error 2000

            }

    if `ar'<1     {

            di as error "the AR component must be bigger than 1"

            exit 198

            }

   

    if `steps'<5 {

            di as error "you should have at least 5 steps"

            exit 198

            }

    qui sum `1'

    local min r(min)

    local max r(max)

    local y `1'

    forval i=1/`steps' {

                    tempvar y`i' y`i'inv

                    gen y`i'=l.(y>`min'+`i'*(`max'-`min')/`steps')

                    gen y`i'inv=1-y`i'

                    forval j=1/`ar' {

                                    tempvar y`i'`j' y`i'inv`j'

                                    gen y`i'`j'=l`j'.y*y`i'

                                    gen y`i'inv`j'=l`j'.y*y`i'inv

                                    }

                    qui reg y y`i' y`i'1-y`i'`ar' y`i'inv y`i'inv1-y`i'inv`ar'

                    *store the variance and threshold

                    mat var[`i',1]=(e(rmse)*e(rmse)*e(df_r)/e(N))

                    mat var[`i',2]=`min'+`i'*(`max'-`min')/`steps'

                    }

end

Dirk Nachbar

Assistant Economist

Pensim2

Department for Work and Pensions

Level 4, The Adelphi

1-11 John Adam St

WC2N 6HT London

020 796 28531

[email protected] 30/06/2006 07:42 To Dirk Nachbar/London/Asd@ASD cc Subject Help: Stata and SETAR

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