foreach, loops

[Aamina Khurraa]

Hi

I want to run the below code, but can't get it right.
As I have a panel data with many IDs and months. I want to run the univariate Garch model as "arch X, arch(1/1) garch(1/1)", but can't get the estimation as per ID, in the below loop. X is the only variable that I am considering.

program define one_id
arch X, arch(1/1) garch(1/1)
foreach x in X {
gen coeff_`x' = _b[`x']
gen t_`x' = coeff_`x'/se_`x'
gen p_`x' = 2*t(e(df_r), -abs( t_`x'))
}
gen constant_term = _b[_cons]
predict V
predict resid, resid
exit
end
runby one_id,by(FI) status

Can someone help how to modify the above code to suit my requirements?

[Alfonso Sánchez-Peñalver]

Hi Aamina,

where have you defined X?

[Nick Cox]

The code includes a loop over one item and as such can be simplified down to

program define one_id
    arch X, arch(1/1) garch(1/1)
    gen coeff_X = _b[X]
    gen t_X = coeff_X/se_X
    gen p_X = 2*t(e(df_r), -abs(t_X))
    gen constant_term = _b[_cons]
    predict V
    predict resid, resid
end

runby one_id, by(FI) status

and what hits me first is that se_X is never defined before it is used.

[Aamina Khurraa]

Thanks Nick Cox

I have tried this bit of a hint, but again in vain. This is not picking the foreach syntax and hence errors in all groups (IDs). I have also incorporated se_x. I am not sure if GARCH models are compatible with foreach loops, otherwise I can't think of any solution for the panel data.

The code:
"arch X, arch(1/1) garch(1/1)" however, does work for the entire panel data, if not for individual IDs.

[Nick Cox]

The tsset setting that makes arch for the whole dataset possible at all won't be compatible necessarily with whatever else you need.

[Clyde Schechter]

Since Nick mentioned -tsset-, I should point out that -runby- does not preserve -xtset- or -tsset- settings. So if your program uses a command that requires the data to be -xtset- or -tsset- (as, I believe, -garch- and -arch- do), you have to do the -xtset- or -tsset- inside the program before you call those commands.

[Aamina Khurraa]

So could we find a way to do these individual garch estimations for a panel of say 360 firms?

[Aamina Khurraa]

Hi

Still stuck with multiple time series in my panel sample. Can you elaborate further how would I add the xtset command within the foreach loop (as is mentioned in #6) as I have tried many ways, but couldn't get it right.

Regards