Dear all,
This thread is better called continuous margins. Any how :
I am having a quadratic polynomial loss function of the form :
for a macro panel for a larger period of years and for numerous countries with the solid macro variables, dummies, categorical variables and some custom quality indicators, expressed in percentage, which you can see in the data example below for shorter time length and fewer countries.
where It and Xt are referred to an indicator and the output gap (gdp_hp in the sample data) in period t, respectively, I* is the indicator optimal target, and λ &Xt; equal to 0 is the relative weight on output- gap stabilization. The intertemporal loss function in period t is
I am looking for a code/program that will allow me to find the stochastically optimized value in every year and every country for the indicator1 in the sample data, generated stochastically a new variable that is continuous and discrete for the indicator values separately, for each country and year such that for those values can bring actual GDP close to steady state(potential output), or minimize at most the cyclical component of output estimated with a hp filter. Output gap is Xt. δ, (0 < δ < 1), It is assumed to be high at the beginning of the period lowering as times passes reaching to lowest at the end of the period , shown with dummy 1
I have used margins for the panel estimations, but need to estimate each year and country separately by getting the optimal values of the indicator and country in each year and for each country.
I have seen also the optimization manual was not able to solve though .Data sample is below:
I would appreciate any help you can provide
Thank you in advance
Best.
Mario Ferri! .
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float(id ts) str97 country float(indicator1 cpi u gdp industry ka gw dummy1 dummy2 dummy3 growth gdp_hp gdp_trend gdp_gain gdp_fre) 1 1981 "Australia" 20.613514 9.487666 5.78 4.540717e+11 43.42793 .41687185 .20370182 0 0 0 . 24607873024 4.294638e+11 .49240965 .15707964 1 1982 "Australia" 20.613514 11.35182 7.16 4.691852e+11 43.09072 .41687185 -.15889087 0 0 0 .033284433 20692293632 4.484929e+11 .9387667 .3141593 1 1983 "Australia" 6.500914 10.03891 9.96 4.587671e+11 41.44292 .41687185 .027918227 1 1 1 -.02220472 -8770313216 4.675374e+11 .9870179 .4712389 1 1984 "Australia" 3.3282194 3.960396 8.99 4.797846e+11 44.21151 .47684005 1.4786447 1 0 0 .04581299 -6840991232 4.866255e+11 .9957345 .6283185 1 1985 "Australia" 5.8 6.734694 8.26 5.0497e+11 46.74982 .8200954 -.4968416 0 0 0 .05249325 -810234688 5.057802e+11 .9981819 .7853982 1 1986 "Australia" 5.8 9.05035 8.08 5.253583e+11 46.31632 .8800636 -.23686917 0 0 0 .0403753 338305568 5.2502e+11 .9990813 .9424778 1 1987 "Australia" 6.556594 8.533022 8.11 5.387611e+11 49.62373 .9400318 .18794964 1 0 0 .02551173 -5601797632 5.443629e+11 .9994762 1.0995574 1 1988 "Australia" 7.5 7.21594 7.23 569704251392 53.17501 1 .4695499 0 0 0 .05743383 5877027840 563827245056 .9996728 1.256637 1 1989 "Australia" 7.5 7.533903 6.18 5.917015e+11 54.96535 1 .03558734 0 0 0 .03861165 8273810944 5.834277e+11 .9997805 1.4137167 1 1990 "Australia" 10.999176 7.333022 6.93 612831133696 56.63783 1 .06843487 1 1 1 .03571 9648447488 603182661632 .9998438 1.5707964 1 1991 "Australia" 12.2 3.176675 9.58 6.103932e+11 56.07949 1 1.616588 0 0 0 -.0039781583 -12722698240 6.231159e+11 .9998832 1.727876 1 1992 "Australia" 12.2 1.0122311 10.73 6.129091e+11 56.31247 1 1.9267 0 0 0 .004121814 -30347796480 643256942592 .9999088 1.8849556 1 1993 "Australia" 17.553352 1.7536534 10.87 6.376088e+11 58.00952 1 -.55177194 1 1 1 .04029907 -26018656256 6.636274e+11 .9999261 2.0420353 1 1994 "Australia" 19.11 1.9696348 9.72 6.630105e+11 60.82281 1 .007553967 0 0 0 .03983899 -21219708928 6.842302e+11 .999938 2.1991148 1 1995 "Australia" 19.11 4.6277666 8.47 6.884552e+11 62.44015 1 -.5324481 0 0 0 .03837749 -16596442112 7.050516e+11 .9999464 2.3561945 1 1996 "Australia" 15.414823 2.6153846 8.51 7.151575e+11 64.93562 .9400318 .980418 1 1 1 .03878585 -10907398144 7.260649e+11 .9999523 2.513274 1 1997 "Australia" 14.538 .22488755 8.36 7.435245e+11 65.80802 .8800636 10.272155 0 0 0 .03966538 -3708353024 7.472328e+11 .9999563 2.670354 1 1998 "Australia" 17.287497 .8601346 7.68 7.775533e+11 67.9767 .8200954 -.7689896 1 0 0 .04576695 9041863680 7.685114e+11 .9999589 2.827433 1 1999 "Australia" 28.634005 1.4831294 6.87 8.170032e+11 68.75488 .7601272 -.3804706 0 0 0 .05073597 27148789760 7.898544e+11 .9999605 2.984513 1 2000 "Australia" 28.634 4.457435 6.28 8.491371e+11 72.54832 .700159 -.6822261 0 0 0 .03933139 37915975680 8.112211e+11 .999961 3.141593 2 1981 "Austria" 2 6.803042 2.06 2.080323e+11 36.20454 .700159 -.200444 0 0 0 . 7238820352 200793473024 .49240965 .15707964 2 1982 "Austria" 2 5.436031 3.35 212216348672 35.98919 .700159 .20921445 0 0 0 .02011249 5037281280 207179071488 .9387667 .3141593 2 1983 "Austria" 1.0946958 3.3391645 4.11 218525728768 36.29808 .700159 .5968089 1 1 1 .029730886 4956550656 2.135692e+11 .9870179 .4712389 2 1984 "Austria" .5089108 5.663186 3.8 2.186378e+11 38.19626 .700159 -.44796655 0 0 0 .00051275507 -1333707008 2.199715e+11 .9957345 .6283185 2 1985 "Austria" .5089108 3.189517 3.6 224100843520 39.99393 .700159 .823105 0 0 0 .02498683 -2295917312 226396766208 .9981819 .7853982 2 1986 "Austria" .561659 1.7054446 3.12 2.292583e+11 40.40985 .700159 1.638252 0 0 0 .023013914 -3596658944 232854945792 .9990813 .9424778 2 1987 "Austria" 12.24376 1.4019527 3.79 2.323697e+11 40.80097 .700159 .50470144 0 0 0 .01357168 -6984823808 239354527744 .9994762 1.0995574 2 1988 "Austria" 12.920382 1.915717 3.55 2.400283e+11 42.56515 .700159 -.23894365 0 0 0 .03295877 -5873449984 245901770752 .9996728 1.256637 2 1989 "Austria" 12.920382 2.5683484 3.14 2.493584e+11 45.09982 .700159 -.26313263 0 0 0 .03887076 -3140161536 252498558976 .9997805 1.4137167 2 1990 "Austria" 12.619598 3.261872 3.25 260194631680 48.31841 .700159 -.008617969 1 0 0 .04345645 1051509312 2.591431e+11 .9998438 1.5707964 2 1991 "Austria" 5.1 3.337427 3.42 269149552640 49.15068 .7601272 .012651701 0 0 0 .03441624 3317850112 2.658317e+11 .9998832 1.727876 2 1992 "Austria" 5.1 4.020848 3.59 274784272384 48.56378 .8200954 -.10854957 0 0 0 .020935275 2223056640 2.725612e+11 .9999088 1.8849556 2 1993 "Austria" 5.1 3.631785 4.25 276231847936 47.7724 .8800636 .03468369 0 0 0 .005268044 -3.0988e+09 279330652160 .9999261 2.0420353 2 1994 "Austria" 5.248024 2.9534094 3.54 282867269632 49.68189 .9400318 .26526877 1 0 0 .024021205 -3273104640 286140366848 .999938 2.1991148 2 1995 "Austria" 7.179246 2.2433662 4.35 290414133248 52.20742 1 .7674453 1 0 0 .026679875 -2.5747e+09 292988846080 .9999464 2.3561945 2 1996 "Austria" 17.413164 1.8609712 5.28 2.972375e+11 52.7208 1 .16558754 0 0 0 .02349534 -2634905344 299872419840 .9999523 2.513274 2 1997 "Austria" 17.166555 1.3059785 5.15 303460483072 56.07532 1 .13704391 0 0 0 .02093602 -3325427456 3.067859e+11 .9999563 2.670354 2 1998 "Austria" 17.155384 .9224672 5.52 314328678400 60.6142 1 .4728145 0 0 0 .035814203 606228928 313722437632 .9999589 2.827433 2 1999 "Austria" 13.81384 .56899375 4.7 325507252224 64.24256 1 .5897323 1 0 0 .035563327 4834159616 3.206731e+11 .9999605 2.984513 2 2000 "Austria" 3.427717 2.344863 4.69 3.364955e+11 70.08217 1 -.7848026 0 0 0 .033757236 8.8662e+09 327629275136 .999961 3.141593 3 1981 "France" 1.6382614 13.314405 7.54 1.4984657e+12 79.29216 .41687185 -.9999912 1 0 0 . 27841386496 1.4706243e+12 .49240965 .15707964 3 1982 "France" -4.953055 11.978472 8.2 1.5360083e+12 78.65401 .16434518 .0278443 0 0 0 .025054 24426692608 1.5115815e+12 .9387667 .3141593 3 1983 "France" -4.953055 9.459548 7.92 1.555068e+12 78.70774 .41687185 .17290956 0 0 0 .012408595 2511742976 1.5525562e+12 .9870179 .4712389 3 1984 "France" -4.7091045 7.673803 9.53 1.5786074e+12 80.06466 .41687185 .13435355 0 0 0 .01513727 -14973496320 1.593581e+12 .9957345 .6283185 3 1985 "France" -4.4 5.8311 10.26 1.604225e+12 80.26139 .41687185 .34410325 0 0 0 .016227826 -30465157120 1.63469e+12 .9981819 .7853982 3 1986 "France" 17.15525 2.538526 10.23 1.64172e+12 82.29907 .41687185 305361.44 1 1 1 .02337273 -34188257280 1.6759082e+12 .9990813 .9424778 3 1987 "France" 23.033955 3.288898 10.74 1.6837792e+12 83.73698 .41687185 -.09669671 0 0 0 .025619047 -33462192128 1.7172414e+12 .9994762 1.0995574 3 1988 "France" 9.400383 2.700815 10.18 1.7636432e+12 86.72044 .41687185 .26424965 1 0 0 .0474314 4969083392 1.758674e+12 .9996728 1.256637 3 1989 "France" 1.6 3.498302 9.62 1.8402534e+12 89.72697 .41687185 -.2393705 0 0 0 .04343857 40083447808 1.80017e+12 .9997805 1.4137167 3 1990 "France" 1.6 3.1942835 9.36 1.894061e+12 91.03416 .47684005 -.08574203 0 0 0 .029239347 52365762560 1.8416954e+12 .9998438 1.5707964 3 1991 "France" 1.6 3.213407 9.13 1.9139143e+12 90.95167 .53680825 -.999992 0 0 0 .010481753 30671927296 1.8832424e+12 .9998832 1.727876 3 1992 "France" 1.6 2.3637605 10.21 1.9445244e+12 90.21667 .5967765 .4548 0 0 0 .015993487 1.96893e+10 1.924835e+12 .9999088 1.8849556 3 1993 "France" 6.996447 2.1044629 11.32 1.9323e+12 86.85 .9400318 .022043044 1 1 1 -.006286659 -34217535488 1.9665174e+12 .9999261 2.0420353 3 1994 "France" 8.69136 1.6555153 12.59 1.97787e+12 90.03333 1 .2997584 0 0 0 .0235834 -30475014144 2.008345e+12 .999938 2.1991148 3 1995 "France" 8.69136 1.7964814 11.84 2.0195377e+12 92.69833 1 .05559472 0 0 0 .021066934 -30814965760 2.0503527e+12 .9999464 2.3561945 3 1996 "France" 8.69136 1.9828837 12.37 2.0480737e+12 93.46 1 118525.52 0 0 0 .01412994 -44482052096 2.0925557e+12 .9999523 2.513274 3 1997 "France" 5.041234 1.203943 12.57 2.095923e+12 97.54333 1 .4296218 1 1 1 .023363 -39027585024 2.1349504e+12 .9999563 2.670354 3 1998 "France" 2.364474 .6511269 12.07 2.1711383e+12 101.5933 1 .8784832 0 0 0 .035886597 -6366802432 2.177505e+12 .9999589 2.827433 3 1999 "France" 2.364474 .5371416 11.98 2.245421e+12 104.295 1 .1964599 0 0 0 .03421365 2.52569e+10 2.220164e+12 .9999605 2.984513 3 2000 "France" 2.364474 1.67596 10.22 2.3335238e+12 108.6008 1 -.9999971 0 0 0 .03923671 70656811008 2.262867e+12 .999961 3.141593 4 1981 "United Kingdom" 18.6 11.876627 10.4 1.2182697e+12 77.52663 .8800636 .3102416 0 0 0 . 8643661824 1.209626e+12 .49240965 .15707964 4 1982 "United Kingdom" 18.6 8.598864 10.9 1.2425728e+12 77.7118 .9400318 .230822 0 0 0 .019948874 -10718431232 1.2532912e+12 .9387667 .3141593 4 1983 "United Kingdom" 18.766483 4.6093035 11.09 1.2950324e+12 79.73109 1 .6651978 1 0 0 .04221854 -1929432320 1.2969618e+12 .9870179 .4712389 4 1984 "United Kingdom" 18.9 4.960711 10.9 1.324418e+12 80.24253 1 -.12341004 0 0 0 .02269108 -16218454016 1.3406365e+12 .9957345 .6283185 4 1985 "United Kingdom" 18.9 6.071394 11.49 1.3793472e+12 84.36929 1 -.16183244 0 0 0 .04147416 -4965636608 1.384313e+12 .9981819 .7853982 4 1986 "United Kingdom" 18.9 3.4276094 11.51 1.4228014e+12 86.21222 1 1.1283993 0 0 0 .03150343 -5176743424 1.427978e+12 .9990813 .9424778 4 1987 "United Kingdom" 17.745354 4.1489224 11.02 1.4995292e+12 89.77464 1 -.015180643 1 0 0 .05392731 27912605696 1.4716166e+12 .9994762 1.0995574 4 1988 "United Kingdom" 16.809 4.1553516 9.01 1.5854885e+12 94.41283 1 .18605655 0 0 0 .05732416 70279110656 1.5152094e+12 .9996728 1.256637 4 1989 "United Kingdom" 16.809 5.760249 7.41 1.626356e+12 96.38803 1 -.27347788 0 0 0 .025776027 67601256448 1.5587548e+12 .9997805 1.4137167 4 1990 "United Kingdom" 16.809 8.063461 6.97 1.6382895e+12 96.41448 1 83413.91 0 0 0 .007337539 35994152960 1.6022953e+12 .9998438 1.5707964 4 1991 "United Kingdom" 16.809 7.461783 8.55 1.6202173e+12 93.1948 1 .09337864 0 0 0 -.011031144 -25698349056 1.6459157e+12 .9998832 1.727876 4 1992 "United Kingdom" 13.403038 4.5915494 9.78 1.6267156e+12 93.60826 1 .6429237 1 1 1 .0040107504 -63007240192 1.689723e+12 .9999088 1.8849556 4 1993 "United Kingdom" 12.1 2.558578 10.35 1.667218e+12 95.62276 1 -.9999845 0 0 0 .024898365 -66589822976 1.733808e+12 .9999261 2.0420353 4 1994 "United Kingdom" 12.1 2.2190125 9.65 1.7313395e+12 100.681 1 123614.65 0 0 0 .03846008 -46883278848 1.7782228e+12 .999938 2.1991148 4 1995 "United Kingdom" 12.1 2.697495 8.69 1.7751713e+12 102.4492 1 -.13095939 0 0 0 .02531669 -47806025728 1.8229773e+12 .9999464 2.3561945 4 1996 "United Kingdom" 12.1 2.851782 8.19 1.8194017e+12 103.8479 1 -.033561174 0 0 0 .02491612 -4.86507e+10 1.8680523e+12 .9999523 2.513274 4 1997 "United Kingdom" 5.227907 2.201143 7.07 1.9099222e+12 106.6101 1 .4296572 1 1 1 .04975292 -3476611584 1.9133988e+12 .9999563 2.670354 4 1998 "United Kingdom" 1.806 1.8205616 6.2 1.9807378e+12 107.4667 1 .27417862 0 0 0 .03707773 2.18006e+10 1.9589372e+12 .9999589 2.827433 4 1999 "United Kingdom" 1.806 1.7529508 6.04 2.046007e+12 108.652 1 .024280345 0 0 0 .032952 41421279232 2.004586e+12 .9999605 2.984513 4 2000 "United Kingdom" 1.806 1.1829562 5.56 2.1177446e+12 110.4949 1 .3995405 0 0 0 .035062216 67468062720 2.0502766e+12 .999961 3.141593 5 1981 "United States" 7.720604 10.334715 7.6 6.661146e+12 50.72995 1 .4146612 0 0 0 . 301238255616 6.359908e+12 .49240965 .15707964 5 1982 "United States" 8.3 6.131427 9.7 6.541054e+12 48.11071 1 .6862257 1 0 0 -.018028783 -109358833664 6.650412e+12 .9387667 .3141593 5 1983 "United States" 8.3 3.212435 9.6 6.840891e+12 49.41756 1 .9804647 0 0 0 .04583928 -100214685696 6.941105e+12 .9870179 .4712389 5 1984 "United States" 8.3 4.3005357 7.5 7.33594e+12 53.80223 1 -.1878409 1 0 0 .07236623 103833616384 7.232107e+12 .9957345 .6283185 5 1985 "United States" 16.16676 3.545644 7.2 7.641824e+12 54.46311 1 -.8751099 0 0 0 .04169653 118350176256 7.523474e+12 .9981819 .7853982 5 1986 "United States" 16.6 1.8980477 7 7.906433e+12 55.01276 1 17.963144 1 0 0 .034626514 91105533952 7.815328e+12 .9990813 .9424778 5 1987 "United States" 16.6 3.664563 6.2 8.179962e+12 57.87624 1 -.44877 0 0 0 .03459574 72096243712 8.107866e+12 .9994762 1.0995574 5 1988 "United States" 16.6 4.077741 5.5 8.521643e+12 60.88547 1 -.05447189 1 0 0 .04177044 1.203017e+11 8.401341e+12 .9996728 1.256637 5 1989 "United States" 14.988736 4.827003 5.3 8.834614e+12 61.43758 1 -.1320547 0 0 0 .036726553 138562060288 8.696052e+12 .9997805 1.4137167 5 1990 "United States" 14.9 5.397956 5.6 9.001231e+12 62.05701 1 -.08746292 1 0 0 .018859645 8861103104 8.99237e+12 .9998438 1.5707964 5 1991 "United States" 14.9 4.234964 6.8 8.991487e+12 61.15007 1 .2589748 0 0 0 -.0010825649 -299270340608 9.290757e+12 .9998832 1.727876 5 1992 "United States" 14.9 3.0288196 7.5 9.308206e+12 62.92408 1 13.807285 1 0 0 .035224345 -283471970304 9.591678e+12 .9999088 1.8849556 5 1993 "United States" .0375137 2.951657 6.9 9.564447e+12 64.99349 1 .04719354 0 0 0 .027528454 -3.309646e+11 9.895411e+12 .9999261 2.0420353 5 1994 "United States" -.781 2.607442 6.12 9.949782e+12 68.42391 1 .17382646 1 0 0 .04028837 -252275425280 1.0202058e+13 .999938 2.1991148 5 1995 "United States" -.781 2.80542 5.65 1.0216863e+13 71.58787 1 -.032830253 0 0 0 .02684287 -294649462784 1.0511513e+13 .9999464 2.3561945 5 1996 "United States" -.781 2.931204 5.45 1.0602295e+13 74.84686 1 -.02388202 1 0 0 .03772502 -221217554432 1.082351e+13 .9999523 2.513274 5 1997 "United States" 1.3458682 2.3376899 5 1.1073802e+13 80.20259 1 .29131374 0 0 0 .04447225 -63806414848 1.113761e+13 .9999563 2.670354 5 1998 "United States" 1.463 1.552279 4.51 1.1570064e+13 84.89986 1 .55129653 1 0 0 .04481402 1.168468e+11 1.1453217e+13 .9999589 2.827433 5 1999 "United States" 1.463 2.1880271 4.22 1.2120017e+13 88.64145 1 -.9274685 0 0 0 .0475324 3.503052e+11 1.1769712e+13 .9999605 2.984513 5 2000 "United States" 1.463 3.376857 3.99 1.262027e+13 92.05371 1 5.664342 1 0 0 .04127482 5.337286e+11 1.208654e+13 .999961 3.141593 end
