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From |
Stas Kolenikov <[email protected]> |

To |
[email protected] |

Subject |
Re: st: How to add Q stats from -wntestq- to -esttab- table (hopefully with -estadd-) |

Date |
Fri, 16 Sep 2011 09:06:31 -0500 |

I don't see much advantage of -eststo- over the official -estimates store-, with which you may not be familiar. -estimates- are as close as Stata gets to R objects, with -e(whatever)- being essentially results$whatever. -estadd-, on the other hand, is immensely helpful. In your R to Stata work, you would also find that you would need to declare temporary variables explicitly with -tempvar-, and use local macro names for these. (It actually provides a better locality control than R objects that can seep through the program interfaces and produce unpredictable results. In Stata, variables in the data set are ALWAYS global, and the macros in a program are ALWAYS local.) Hence your programmatic solution would look like program define arima_plus_wntestq version 11 syntax varlist , estname( name ) [ * ] quietly { arima `varlist', `options' tempvar res predict `res', residuals wntestq `res' estadd scalar Q = r(stat) estadd scalar df_Q = r(df) estadd scalar p_Q = r(p) estimates store `estname' } end // of arima_plus_wntestq Another thing about R to Stata change is that you can rely on the official Stata commands doing good job with backwards compatibility, but you should rarely expect such of the user-written command. In other words, in your own programs, you would want to use as little user-written stuff as needed for them to work. (There is no built-in mechanisms to resolve dependencies, but you as the author of the program may build rudimentary tools for that. More typically, I put whatever -ssc install- packages I need at the top of my do-file, rather than in ado-files and programs themselves.) On Fri, Sep 16, 2011 at 8:39 AM, Richard Herron <[email protected]> wrote: > I found a hackish solution. > > * ----- begin code ----- > * combine regressions with -eststo- and add -wntestq- with -estadd- > webuse friedman2, clear > generate ln_m1 = ln(m1) > eststo clear > eststo: quietly arima DS4.ln_m1, ar(1) ma(2) > quietly predict res_1, residuals > quietly wntestq res_1 > estadd scalar Q = r(stat) > > eststo: quietly arima DS4.ln_m1, ar(1) ma(1/2) > quietly predict res_2, residuals > quietly wntestq res_2 > estadd scalar Q = r(stat) > > eststo: quietly arima DS4.ln_m1, ar(1/2) ma(2) > quietly predict res_3, residuals > quietly wntestq res_3 > estadd scalar Q = r(stat) > > eststo: quietly arima DS4.ln_m1, ar(1/2) ma(1/2) > quietly predict res_4, residuals > quietly wntestq res_4 > estadd scalar Q = r(stat) > > * and create tables with -esttab- > esttab, stats(aic bic Q) noobslast nomtitles > * ----- end code ----- > > Programming is the next task in my R-to-Stata switch. I will update > when I learn how to code a -estadd_wntestq- solution. > > On Wed, Sep 14, 2011 at 20:32, Richard Herron > <[email protected]> wrote: >> >> I have an -esttab- table with multiple -arima- models to which I would >> like to add Q stats made with -wntestq-. I can't use -estadd scalar- >> because Q stats are not part of -arima- objects. Is there a way that I >> can chain together -predict, residuals- and -wntestq- to add Q stats >> to my -esttab- table? Thanks! >> >> Here is some code (including how I would find Q stats "manually"): >> >> * ----- begin code ----- >> * I know how to combine regressions with -eststo- >> webuse friedman2, clear >> generate ln_m1 = ln(m1) >> eststo clear >> eststo: quietly arima DS4.ln_m1, ar(1) ma(2) >> eststo: quietly arima DS4.ln_m1, ar(1) ma(1/2) >> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(2) >> eststo: quietly arima DS4.ln_m1, ar(1/2) ma(1/2) >> >> * and create tables with -esttab- >> esttab, aic bic noobslast nomtitles >> >> * I would like to add Q stats to each model with -estadd-, but I can't >> figure out how >> >> * here's how I find Q stats "manually" >> quietly arima DS4.ln_m1, ar(1/2) ma(1/2) >> predict res, residuals >> wntestq res, lags(8) >> * ----- end code ----- -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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