Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Program to simulate AR(1) time series and return autocorrelations


From   Nick Cox <[email protected]>
To   [email protected]
Subject   Re: st: Program to simulate AR(1) time series and return autocorrelations
Date   Fri, 24 Feb 2012 23:59:59 +0000

You can't put a matrix into a value of a variable.

Nick

On Fri, Feb 24, 2012 at 7:02 PM, brandon lebeau <[email protected]> wrote:
> I am attempting to write a program that simulates an AR(1) time series
> using the sim_arma command
> and computes autocorrelations with the corrgram function.  I'm having
> difficulties accessing the stored
> results from the corrgram function, specifically the matrix r(AC).I
> have also tried just accessing r(ac1),
> r(ac2), etc. and that works, but does not work when I try to use the
> simulate command.
>
> Here is my program so far:
>
> program define simarmaT, rclass
>   sim_arma simy, nobs(20) arcoef(.45) time(time) spin(2000)
>   tsset time
>   corrgram simy, lags(13) noplot
>   return matrix autoC = r(AC)
> end
>
> Then I'd like to use the simulate function to replicate this about
> 10,000 times.
> Here is a version of my simulate command:
>
> simulate autoC = r(AC), reps(20): simarmaT
>
>
> I'm hoping their is a simple solution to this as I'm a new user to
> Stata, I primarily use R,
> but need to replicate my simulation done in R with another program.

*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index