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Posted: **Mon Oct 24, 2016 8:06 am**

Hi all,

I have a question on defining coefficients for non-linear least squares with many regressors.

I have 14 variables with similar name pattern. They all start with "n_", e.g. n_cpi, n_gdp, n_ism, etc. I need to do non-linear LS of the form

dep = constant + beta1*n_cpi*(1 + gamma11*date_dummy1 + gamma12*date_dummy2)
+ beta2*n_gdp*(1 + gamma21*date_dummy1 + gamma22*date_dummy2)
+ ...
+ beta14*n_ism*(1 + gamma141*date_dummy1 + gamma142*date_dummy2)

where beta1 is the coefficients for the overall response to gdp, gamma11 and gamma12 are the coefficients for the two subperiods, etc. I can't figure out how to properly specify the gamma coefficient using a loop. Can anyone give me a suggestion?

Thanks!

Posted: **Mon Oct 24, 2016 8:23 am**

Code: Select all


%varlist = "n_cpi n_gdp n_ism"
%spec = "dep = constant"

for !i=1 to @wcount(%varlist)
	%var = @word(%varlist, !i)
	series {%var} = nrnd
	%spec = %spec + " + beta" + @val(!i)+"*" + %var + "(1+gamma" + @val(!i) + "1*date_dummy1 + gamma" + @val(!i)+"2*data_dummy2)"
next

or something similar.

Posted: **Mon Oct 24, 2016 2:31 pm**

Hi Gareth,

thank you for the post. I have run your code. But the program stops at the fourth line of the loop.

Code: Select all

%spec = %spec + " + beta" + @val(!i)+"*" + %var + "(1+gamma" + @val(!i) + "1*date_dummy1 + gamma" + @val(!i)+"2*data_dummy2)"

and tells me that "%SPEC is not defined or is an illegal command". So the first %spec returns a temporary string variable, right? But the string command would result in a syntax error... Can you give me a hint here of how to return the equation specification as a string?

I noticed I made a mistake in the first post. Sorry for that.. The equation for NLS should look like
dep = constant + beta1*n_cpi*(1 + gamma1*date_dummy1 + gamma2*date_dummy2)
+ beta2*n_gdp*(1 + gamma1*date_dummy1 + gamma2*date_dummy2)
+ ...
+ beta14*n_ism*(1 + gamma1*date_dummy1 + gamma2*date_dummy2)

where gamma coefficient stays constant for each variable.

I have modified your code as below

Code: Select all


coef(1) const      ' declare constant
coef(14) beta	  ' declare coefficient for each variable (n_gdp, n_cpi, n_ism, etc). there are 14 variables in total
coef(2) gamma    ' declare coefficient for time dummies

%varlist = "n_cpi n_gdp n_ism"
%spec = "dep = constant"

for !i=1 to @wcount(%varlist)         '''' returns number of strings in %varlist
   %var = @word(%varlist, !i)	    ''' picking out !i-th word in %varlist
   series {%var} = nrnd
   string spec = %spec + "+ beta" + "(" + @val(!i) + ")" + "*" + %var + "*" + "(1+ gamma(1)*date_dummy1 + gamma(2)*date_dummy2)"
next

But the code break down at the fourth line in the loop...

Would be nice if you could take a look at this.

Thanks a lot!

Posted: **Mon Oct 24, 2016 3:06 pm**

Sorry, I should have used @str rather than @val

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non-linear least squares with many regressors

non-linear least squares with many regressors

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