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panel workfile - random draw holding one dimension fixed?

Posted: Thu Feb 13, 2020 8:45 am
by tvonbrasch
Hi

I want to make a random draw from ba gamma distribution in a panel workfile with 1,2,….N firms and 1,2,… T time periods. I want to draw from the gamma distribution for every firm (n), holding time fixed (t=1,2,...T). I would like to make a total of S (s=1,2,….S) draws or simulations:

I have made the following code

Code: Select all

   wfcreate(wf=panel, page=panel) a  2000 2100 100

   for !s=1 to 10
      genr sigmad_{!s} = @rgamma(0.5,1) 'this is not done holding time fixed...?
   next



However, this does not draw from the gamma distribution for every firm, holding time fixed. How can I draw sigmas from a gamma distribution holding time fixed in a panel workfile?

Thomas

Re: panel workfile - random draw holding one dimension fixed?

Posted: Thu Feb 13, 2020 4:25 pm
by EViews Matt
Hello,

The distribution sampling functions are not panel-aware, so you'll need to draw the random values for one period and then copy those values to all periods. For example,

Code: Select all

wfcreate(wf=panel, page=panel) a  2000 2100 100

for !s=1 to 10
   smpl @first @first
   genr sigmad_{!s} = @rgamma(0.5,1)
   smpl @first+1 @last
   genr sigmad_{!s} = @nan(sigmad_{!s}, sigmad_{!s}(-1))
next
smpl @all

Re: panel workfile - random draw holding one dimension fixed?

Posted: Fri Feb 14, 2020 12:07 am
by tvonbrasch
Great Matt, thanks! I tried to do this in an ordinary workfile (not panel), but that is not very efficient.... this is much better!
Thanks
T