求助：rat中运行FMOLS出现错误，如能帮助解决运行，重谢

suhongwei127

13720

收藏 2011-09-29

悬赏 300 个论坛币已解决

错误代码：*
我在WINRAT中运行FMOLS DOLS 出现如下错误，怎么解决呀，向高手请教
The Error Occurred At Location 0398 of PANELDOLS
Line 69 of PANELDOLS

新建文件夹.zip
大小:(52.74 KB)

马上下载

## M11. Integer divide by zero
The Error Occurred At Location 0440 of PANELDOLS
Line 70 of PANELDOLS
## M11. Integer divide by zero
The Error Occurred At Location 0482 of PANELDOLS
Line 71 of PANELDOLS
## M11. Integer divide by zero
The Error Occurred At Location 0519 of PANELDOLS
Line 72 of PANELDOLS
## M11. Integer divide by zero
## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points
The Error Occurred At Location 0646 of PANELDOLS
Line 80 of PANELDOLS
附件中包含了FMOLS 和DOLS ，数据文件，以及执行文件，只需要放在RAT在文件夹下，运行即可，如有能解决并运行的高手，必将重谢

最佳答案

epoh 查看完整内容

哈哈!还是很多缺失值有更改的地方,我画色提醒一下其余的请看FMOLS_revised.txt******* open data su.xls calendar(panelobs=32,A) 1978 data(format=xls,org=columns) 1//1978:1 17//2009:1 rsca tt gl com ****** dec vect[labels] coms(17) input coms do i=1,17 report(atrow=i+1,atcol=1) coms(i) fmbeta(i,1) fmtstat(i,1) dolsbeta(i,1) dolststat(i,1) ...... end do ireport(atrow=20,atcol=1,span) "Pane ...

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

全部回复

epoh

2011-9-29 10:17:34

哈哈!还是很多缺失值

有更改的地方,我画色提醒一下

其余的请看FMOLS_revised.txt

*******
open data su.xls
calendar(panelobs=32,A) 1978
data(format=xls,org=columns) 1//1978:1 17//2009:1 rsca tt gl com
******
dec vect[labels] coms(17)
input coms
do i=1,17
report(atrow=i+1,atcol=1) coms(i) fmbeta(i,1) fmtstat(i,1) dolsbeta(i,1) dolststat(i,1)
......
end do i

report(atrow=20,atcol=1,span) "Panel Results"
report(atrow=21,atcol=1,span) "Without Time Dummies"
report(atrow=22,atcol=1) "Between" pfmbeta(1) pfmtstat(1) pdolsbeta(1) pdolststat(1)

report(action=show,window="Table 1-Purchasing Power Parity Tests")

FMOLS.rar
大小:(34.98 KB)

马上下载

*********

FMOLS_revised

FMOLS_revised.txt
大小:(3.68 KB)

马上下载

*********

com FMOLS t-stat DOLS t-stat
716  0.15 -9.36**  0.23 -6.06**
718  0.45 -5.23**  0.53 -4.16**
751  0.02 -19.67**  0.13  -11.23**
752 -0.89  -9.51** -2.01  -15.04**
759 -0.06 -39.13** -0.06  -39.90**
761 -0.00 -234.18** 0.00 -177.54**
764  0.13  -9.76** 0.19 -7.11**
771 -0.10 -23.35** -0.15 -33.33**
774 -0.00 -772.73** -0.00 -1091.56**
778 -0.00 -36.89** 0.09  -19.52**
776  0.09 -11.77** 0.19 -7.37**
541  0.88  -0.89    0.87 -0.58
712  0.23 -11.61**  0.18 -11.58**
792 -0.45  -6.61** -0.69    -6.71**
871 -0.19  -9.22** -0.64    -7.96**
874  0.35 -16.41** 0.28 -44.02**
882 -0.00 -53.23** 0.00 -46.77**

Panel Results
Without Time Dummies
Between 0.03 -307.91** -0.05 -371.23**

With Time Dummies
Between 0.02 -277.01** 0.04 -211.95**

*********

HeyHey!

就只有541不显着.

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-9-29 15:21:18

数据rsca ,麻烦你检查一下,

几乎都是相同重复.

造成Non-invertible Matrix

131 - 139 0.9916088

248 - 257 0.0101018

258 - 267 0.9916088

290 - 299 0.9916088

.......

354 - 374 0.9916088

程序我已改好,

麻烦你重传数据,我再做确认.

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

suhongwei127

2011-9-30 18:32:45

你好 epoh,太感谢你了，我的RSCA数据中由于一些国家实际中没有统计，故有一些缺失，当时传的那个数据是我以为按照那个错误指引胡乱拉下来，试试的。
另外EPOH 可以教教我如何在FMOLS中做一下残差，另有重谢。

附件列表

su.xls

大小:231 KB

马上下载

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-1 22:36:37

DOLSRES

我先贴上,看是不是你要的.

ENTRY          DOLSRES
   1//1980:01 0.066513294758
   1//1981:01 0.001220431405
   1//1982:01  -0.230164747029
   1//1983:01 0.057518179123
   1//1984:01 0.045726275097
   1//1985:01 0.025949846190
   1//1986:01 0.015981763355
   1//1987:01  -0.017145216581
   1//1988:01  -0.003040805094
   1//1989:01 0.037954460069
   1//1990:01  -0.009095938769
   1//1991:01  -0.030741836947
   1//1992:01 0.003024476715
   1//1993:01 0.015611163348
   1//1994:01  -0.005253401923
   1//1995:01 0.068195752708
   1//1996:01 0.007432886805
   1//1997:01 0.152440288192
   1//1998:01 0.074864586408
   1//1999:01 0.045781583523
   1//2000:01  -0.250040962271
   1//2001:01  -0.032596798897
   1//2002:01 0.000962434200
   1//2003:01 0.070215389182
   1//2004:01  -0.040331285736
   1//2005:01  -0.034634603461
   1//2006:01  -0.036347214371

   ENTRY          DOLSRES
   1//1980:01 0.003141379645
   1//1981:01  -0.077069579558
   1//1982:01 0.043001297135
   1//1983:01 0.037081254945
   1//1984:01  -0.021829801943
   1//1985:01  -0.176761224142
   1//1986:01  -0.145721636286
   1//1987:01  -0.189216657788
   1//1988:01  -0.007521191208
   1//1989:01  -0.033760439411
   1//1990:01 0.102554401711
   1//1991:01 0.162445283576
   1//1992:01  -0.012676771206
   1//1993:01  -0.018678573361
   1//1994:01 0.093581748609
   1//1995:01 0.233313963672
   1//1996:01 0.169564289704
   1//1997:01 0.094999105544
   1//1998:01 0.002189049890
   1//1999:01 0.060740916814
   1//2000:01 0.079668007936
   1//2001:01 0.082944677496
   1//2002:01  -0.054923021802
   1//2003:01  -0.075448182977
   1//2004:01  -0.012102352523
   1//2005:01  -0.065848950052
   1//2006:01  -0.099702893699
   1//2007:01  -0.133507090283
   1//2008:01  -0.040457010438

   ENTRY          DOLSRES
   1//1980:01  -0.001592282392
   1//1981:01 0.014163788636
   1//1982:01 0.004917689644
   1//1983:01 0.013380455666
   1//1984:01 0.032271368185
   1//1985:01 0.013606242148
   1//1986:01 0.037386644427
   1//1987:01  -0.028198232489
   1//1988:01  -0.048820097616
   1//1989:01  -0.074484582943
   1//1990:01  -0.079086772332
   1//1991:01  -0.114195034459
   1//1992:01 0.000702907021
   1//1993:01 0.091041751936
   1//1994:01 0.028650346424
   1//1995:01 0.026503777435
   1//1996:01 0.037520731988
   1//1997:01 0.062052723280
   1//1998:01 0.035446999623
   1//1999:01  -0.004620953379
   1//2000:01  -0.007462527323
   1//2001:01 0.008411423315
   1//2002:01  -0.008790244576
   1//2003:01  -0.038806122219

   ENTRY          DOLSRES
   1//1980:01 0.022967425243
   1//1981:01  -0.048716042503
   1//1982:01 0.005817145988
   1//1983:01 0.073268580495
   1//1984:01  -0.059985444848
   1//1985:01  -0.078438157920
   1//1986:01 0.022980666439
   1//1987:01  -0.007486104789
   1//1988:01 0.071122358310
   1//1989:01  -0.011545497384
   1//1990:01 0.024104823068
   1//1991:01  -0.011456120928
   1//1992:01  -0.008063430541
   1//1993:01  -0.000037566009
   1//1994:01  -0.018443792604
   1//1995:01 0.059418508076
   1//1996:01  -0.031773497519
   1//1997:01  -0.003733852574

   ENTRY          DOLSRES
   1//1980:01 0.004755474069
   1//1981:01  -0.028141429306
   1//1982:01  -0.016221856051
   1//1983:01 0.011943695577
   1//1984:01 0.016661337698
   1//1985:01  -0.000823601105
   1//1986:01 0.033358301271
   1//1987:01  -0.008132478341
   1//1988:01 0.022248427084
   1//1989:01  -0.017373904685
   1//1990:01  -0.034893295998
   1//1991:01 0.010672977849
   1//1992:01  -0.001771945903
   1//1993:01 0.016610156916
   1//1994:01 0.018613763559
   1//1995:01  -0.000034166912
   1//1996:01  -0.014154815829
   1//1997:01 0.006429682954
   1//1998:01 0.006649484042
   1//1999:01  -0.026395806888

   ENTRY          DOLSRES
   1//1980:01 0.076068563417
   1//1981:01 0.076040774355
   1//1982:01 0.095234764657
   1//1983:01 0.062623838822
   1//1984:01 0.083260867533
   1//1985:01 0.133258895388
   1//1986:01  -0.014518094747
   1//1987:01  -0.037059918059
   1//1988:01  -0.063929762767
   1//1989:01  -0.129499161387
   1//1990:01  -0.269908425712
   1//1991:01  -0.237258274276
   1//1992:01  -0.010022282212
   1//1993:01 0.114988167501
   1//1994:01 0.126557071999
   1//1995:01 0.150845295991
   1//1996:01 0.103875710310
   1//1997:01 0.010993339918
   1//1998:01  -0.035948131458
   1//1999:01 0.138897076716
   1//2000:01 0.199556149933
   1//2001:01 0.191205095437
   1//2002:01  -0.006658956161
   1//2003:01  -0.040657978090
   1//2004:01 0.060764741811
   1//2005:01 0.006396520139
   1//2006:01  -0.207756594074
   1//2007:01  -0.268696346362
   1//2008:01  -0.308652948621

   ENTRY          DOLSRES
   1//1980:01 0.051925642046
   1//1981:01  -0.025717096438
   1//1982:01  -0.037801867925
   1//1983:01 0.012303237303
   1//1984:01  -0.028009365282
   1//1985:01 0.036945123184
   1//1986:01 0.014816880227
   1//1987:01 0.048539660288
   1//1988:01  -0.031339429196
   1//1989:01  -0.043687380658
   1//1990:01  -0.073442734427
   1//1991:01  -0.025062287925
   1//1992:01 0.032837787667
   1//1993:01 0.045122272081
   1//1994:01 0.040861405028
   1//1995:01 0.076542976764
   1//1996:01  -0.094834822738

   ENTRY          DOLSRES
   1//1980:01  -0.026017310418
   1//1981:01 0.044051756425
   1//1982:01  -0.013641934672
   1//1983:01 0.001862937397
   1//1984:01  -0.019782493919
   1//1985:01  -0.001091359704
   1//1986:01  -0.009055536775
   1//1987:01 0.015723444371
   1//1988:01 0.039087893563
   1//1989:01  -0.005176081545
   1//1990:01 0.030675063091
   1//1991:01 0.006587296448
   1//1992:01  -0.015757149386
   1//1993:01  -0.021766998597
   1//1994:01  -0.003745448783
   1//1995:01  -0.008828739857
   1//1996:01 0.027871483615
   1//1997:01  -0.025826416811
   1//1998:01  -0.014629394717
   1//1999:01  -0.000541009729

   ENTRY          DOLSRES
   1//1980:01 0.003509974502
   1//1981:01 0.008769341300
   1//1982:01  -0.002245689487
   1//1983:01 0.002442759699
   1//1984:01  -0.016049012740
   1//1985:01 0.001948997196
   1//1986:01  -0.003532314716
   1//1987:01 0.001429791422
   1//1988:01  -0.007376913995
   1//1989:01 0.006588450151
   1//1990:01  -0.009863245219
   1//1991:01 0.014708730400
   1//1992:01  -0.027801828937
   1//1993:01  -0.029750224462
   1//1994:01  -0.012667970526
   1//1995:01 0.031202819902
   1//1996:01 0.014963779056
   1//1997:01 0.005484286505
   1//1998:01 0.014501297695
   1//1999:01 0.003736972254

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-1 22:37:20

ENTRY          DOLSRES
   1//1980:01 0.044309020941
   1//1981:01 0.006581153504
   1//1982:01  -0.014801750402
   1//1983:01  -0.011012405165
   1//1984:01  -0.026397969109
   1//1985:01  -0.016535624050
   1//1986:01 0.004128736924
   1//1987:01 0.008274671912
   1//1988:01 0.042486508682
   1//1989:01 0.004030808946
   1//1990:01  -0.015427044369
   1//1991:01  -0.002852647479
   1//1992:01  -0.013755290253
   1//1993:01  -0.012149839693
   1//1994:01 0.003121669610

   ENTRY          DOLSRES
   1//1980:01  -0.005776928169
   1//1981:01  -0.003494203506
   1//1982:01  -0.013907289511
   1//1983:01 0.009773853769
   1//1984:01 0.024558371108
   1//1985:01 0.008462832968
   1//1986:01 0.012977273002
   1//1987:01  -0.004536709136
   1//1988:01  -0.024153966867
   1//1989:01  -0.035342075860
   1//1990:01  -0.001470852661
   1//1991:01 0.007207234196
   1//1992:01 0.003542783245
   1//1993:01 0.022159677422

   ENTRY          DOLSRES
   1//1980:01  -0.040932310213
   1//1981:01 0.000972534283
   1//1982:01 0.059397969396
   1//1983:01 0.072379221964
   1//1984:01 0.076998997159
   1//1985:01 0.043597763064
   1//1986:01 0.023572906362
   1//1987:01  -0.009674796952
   1//1988:01  -0.051429258282
   1//1989:01  -0.073231006455
   1//1990:01  -0.150551797984
   1//1991:01  -0.235562849519
   1//1992:01 0.136683318674
   1//1993:01 0.139821353960
   1//1994:01 0.066137318887
   1//1995:01  -0.003724333093
   1//1996:01 0.006733505977
   1//1997:01 0.001071807931
   1//1998:01  -0.045389987572
   1//1999:01  -0.004016849828
   1//2000:01 0.030544260544
   1//2001:01  -0.029316604531
   1//2002:01  -0.043211439448
   1//2003:01 0.029130275675

   ENTRY          DOLSRES
   1//1980:01  -0.034701340437
   1//1981:01  -0.035844209280
   1//1982:01  -0.023601065115
   1//1983:01  -0.063055381420
   1//1984:01  -0.061218809882
   1//1985:01  -0.095923990328
   1//1986:01  -0.084622503993
   1//1987:01  -0.073448975714
   1//1988:01 0.059223721060
   1//1989:01  -0.086245352014
   1//1990:01  -0.020039585415
   1//1991:01 0.086700539538
   1//1992:01 0.071366680861
   1//1993:01 0.048670051609
   1//1994:01 0.171059032728
   1//1995:01 0.167780950502
   1//1996:01 0.099950946898
   1//1997:01 0.082389704732
   1//1998:01  -0.083709728746
   1//1999:01  -0.124730685585

   ENTRY          DOLSRES
   1//1980:01  -0.023955339845
   1//1981:01  -0.041903063997
   1//1982:01  -0.006928340426
   1//1983:01 0.017478943299
   1//1984:01 0.039664605204
   1//1985:01  -0.000043954359
   1//1986:01  -0.003052523026
   1//1987:01 0.005619075994
   1//1988:01 0.012354954185
   1//1989:01 0.022839948849
   1//1990:01  -0.021229574450
   1//1991:01  -0.008206464584
   1//1992:01  -0.009485856358
   1//1993:01 0.000095685948
   1//1994:01  -0.004054769332
   1//1995:01  -0.005316921789
   1//1996:01 0.026123594687

   ENTRY          DOLSRES
   1//1980:01  -0.071824859489
   1//1981:01 0.023611523228
   1//1982:01 0.015030638685
   1//1983:01  -0.323279434205
   1//1984:01 0.073519840979
   1//1985:01 0.144337298056
   1//1986:01 0.064180573874
   1//1987:01  -0.085201121642
   1//1988:01 0.045005831438
   1//1989:01  -0.102117402759
   1//1990:01 0.041011806276
   1//1991:01 0.186172068430
   1//1992:01 0.149531162274
   1//1993:01 0.012528528237
   1//1994:01 0.016665228861
   1//1995:01  -0.044773951944
   1//1996:01  -0.061713110278
   1//1997:01  -0.057533021424
   1//1998:01 0.017620695060
   1//1999:01  -0.042772293657

   ENTRY          DOLSRES
   1//1980:01  -0.020116952542
   1//1981:01 0.020430950982
   1//1982:01  -0.012823004429
   1//1983:01 0.016479561937
   1//1984:01  -0.025949260060
   1//1985:01 0.000401416655
   1//1986:01 0.018591808834
   1//1987:01 0.000021979727
   1//1988:01 0.018888464530
   1//1989:01 0.021098609270
   1//1990:01  -0.022007141275
   1//1991:01  -0.012862517002
   1//1992:01 0.010474799616
   1//1993:01  -0.006408674547
   1//1994:01  -0.002618859478
   1//1995:01 0.037030877314
   1//1996:01  -0.050003168492
   1//1997:01 0.001771052202
   1//1998:01  -0.007444355456
   1//1999:01 0.015044412214

   ENTRY          DOLSRES
   1//1980:01  -0.031748539732
   1//1981:01 0.032934311704
   1//1982:01  -0.012959984731
   1//1983:01  -0.046512904955
   1//1984:01  -0.059184716391
   1//1985:01 0.009523066819
   1//1986:01 0.036929815906
   1//1987:01 0.036892606351
   1//1988:01 0.046579406522
   1//1989:01 0.009702947443
   1//1990:01 0.018349124815
   1//1991:01  -0.001203372140
   1//1992:01  -0.008648277643
   1//1993:01  -0.078922233955
   1//1994:01  -0.036455588365
   1//1995:01  -0.004327740592
   1//1996:01 0.020325657674
   1//1997:01 0.015841707938
   1//1998:01 0.052884713335

Mean Group Panel DOLS Estimation
   LHS Variable RSCA
   Individuals             17
   Time Periods Unbalanced
   Dynamic Lags             1
   common time dummies NOT included
   RHS Variable H0 Coefficient
   TT                1.000000
   GL                1.000000
Member Variable    Coefficient t-Statistic
No.1 TT                0.229437 -6.059121
      GL             -1.026029 -6.360766
No.2 TT                0.533988 -4.155294
      GL                0.052668 -2.816038
No.3 TT                0.128837 -11.229743
      GL             -1.078313 -15.271677
No.4 TT             -2.014187 -15.040985
      GL                0.658800 -1.637790
No.5 TT             -0.061389 -39.897186
      GL             -0.363865 -32.029243
No.6 TT                0.003261  -177.544243
      GL             -0.644012 -13.340252
No.7 TT                0.190021 -7.111147
      GL             -1.146360 -21.250133
No.8 TT             -0.153099 -33.326370
      GL             -0.637686 -46.974856
No.9 TT             -0.000667 -1091.563799
      GL             -0.080119 -31.629245
No.10  TT                0.087883 -19.518873
      GL             -0.383998 -4.061522
No.11  TT                0.185340 -7.371451
      GL             -0.366747 -7.629179
No.12  TT                0.872139 -0.578182
      GL             -0.230391 -1.678420
No.13  TT                0.184064 -11.579660
      GL                0.356978 -1.118869
No.14  TT             -0.687719 -6.708838
      GL                1.021037    0.132918
No.15  TT             -0.636369 -7.964481
      GL                0.816902 -0.444905
No.16  TT                0.276286 -44.015619
      GL             -0.804342 -10.205692
No.17  TT                0.000891 -46.773835
      GL             -1.348717 -10.562492
*************
Group  TT             -0.050664  -371.185937
      GL             -0.306129 -50.175324

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

点击查看更多内容…

suhongwei127

2011-10-2 06:39:41

是不是仅DOLS就有17个残差序列，每一个COM对应一个残差序列吧？另外FM的也能算出来的，对吧。

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-4 14:59:37

DOLS:

原本程序就有,比较容易取得

linreg(noprint) dvec(1) 2 jperiods dolsres

# reglist

ENTRY DOLSRES

1//1980:01 0.066513294758

1//1981:01 0.001220431405

1//1982:01 -0.230164747029

1//1983:01 0.057518179123

1//1984:01 0.045726275097

1//1985:01 0.025949846190

.......

*******

FMOLS:

linreg(noprint) ystar 2 jperiods

# xvec(1) to xvec(m) constant

* Pull out of this regression:

* The coefficients on the RHS endogenous variables

compute bfm = itemp1 - tr(itemp2)

bfm 是 0.1525 -0.7927

与输出结果相同

Member Variable Coefficient t-Statistic

No.1 TT 0.152465 -9.356351

GL -0.792709 -7.812410

No.2 TT 0.450198 -5.232433

GL 0.098058 -4.201829

所以linreg(noprint) ystar 2 jperiods 的残差就是fmolsres

   ENTRY          FMOLSRES
   1//1979:01  -0.020633273852
   1//1980:01 0.037070623918
   1//1981:01 0.024510775899
   1//1982:01  -0.279142506733
   1//1983:01 0.085540058900
   1//1984:01 0.068329515846
   1//1985:01 0.005875458953

.......

.......
****************
source paneldols_res.src
source panelfm_res.src

res.rar
大小:(8.9 KB)

马上下载

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

michaeljija

2011-10-5 14:04:26

It's good for me. Thanks~

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

zhangtao

2011-10-5 17:33:55

epoh老师，您看以下提示是什么原因造成的？如何更正呢？非常感谢！
report(action=show,window="Table 1-Purchasing Power Parity Tests")
## IO40. Expected SERIES NAME. Got "BLANKS".
## IO9. Invalid input "'[716]'" on line 2 while processing series COM entry 1
## IO9. Invalid input "'[716]'" on line 3 while processing series COM entry 2
## IO9. Invalid input "'[716]'" on line 4 while processing series COM entry 3
## IO9. Invalid input "'[716]'" on line 5 while processing series COM entry 4
## IO9. Invalid input "'[716]'" on line 6 while processing series COM entry 5
## IO9. Invalid input "'[716]'" on line 7 while processing series COM entry 6
## IO9. Invalid input "'[716]'" on line 8 while processing series COM entry 7
## IO9. Invalid input "'[716]'" on line 9 while processing series COM entry 8
## IO9. Invalid input "'[716]'" on line 10 while processing series COM entry 9
## IO9. Invalid input "'[716]'" on line 11 while processing series COM entry 10
## IO9. Invalid input "'[716]'" on line 12 while processing series COM entry 11
## IO9. Invalid input "'[716]'" on line 13 while processing series COM entry 12
## IO9. Invalid input "'[716]'" on line 14 while processing series COM entry 13
## IO9. Invalid input "'[716]'" on line 15 while processing series COM entry 14
## IO9. Invalid input "'[716]'" on line 16 while processing series COM entry 15
## IO9. Invalid input "'[716]'" on line 17 while processing series COM entry 16
## IO9. Invalid input "'[716]'" on line 18 while processing series COM entry 17
## IO9. Invalid input "'[716]'" on line 19 while processing series COM entry 18
## IO9. Invalid input "'[716]'" on line 20 while processing series COM entry 19
## IO9. Invalid input "'[716]'" on line 21 while processing series COM entry 20
## IO9. Invalid input "'[716]'" on line 22 while processing series COM entry 21
## IO9. Invalid input "'[716]'" on line 23 while processing series COM entry 22
## IO9. Invalid input "'[716]'" on line 24 while processing series COM entry 23
## IO9. Invalid input "'[716]'" on line 25 while processing series COM entry 24
## IO9. Invalid input "'[716]'" on line 26 while processing series COM entry 25
## IO9. Invalid input "'[716]'" on line 27 while processing series COM entry 26
## IO9. Invalid input "'[716]'" on line 28 while processing series COM entry 27
## IO9. Invalid input "'[716]'" on line 29 while processing series COM entry 28
## IO9. Invalid input "'[716]'" on line 30 while processing series COM entry 29
## IO9. Invalid input "'[716]'" on line 31 while processing series COM entry 30
## IO9. Invalid input "'[716]'" on line 32 while processing series COM entry 31
## IO9. Invalid input "'[716]'" on line 33 while processing series COM entry 32
## IO9. Invalid input "'[718]'" on line 34 while processing series COM entry 33
## IO9. Invalid input "'[718]'" on line 35 while processing series COM entry 34
## IO9. Invalid input "'[718]'" on line 36 while processing series COM entry 35
## IO9. Invalid input "'[718]'" on line 37 while processing series COM entry 36

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-5 19:01:31

zhangtao兄

winrats程序,必须配合不同的数据,做不同的更改

N : cross-section units

T : time periods

k : number of regressors

如果你跟楼主的数据不同,

请上传我帮你修改.

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

zhangtao

2011-10-5 22:28:09

mydata.xls
大小:(245 KB)

马上下载

epoh老师，您好！
附件中是我的数据，非常感谢您！

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-6 08:11:36

zhangtao兄,你传错了

你传的不是panel data,

数据形态可以参考

在gauss区块,我提供的pedroni_ppp.xls

https://bbs.pinggu.org/thread-1016182-1-1.html

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-7 22:18:12

zhangtao兄,

你曾问及的这篇文献,

"混业经营条件下银行集中与经济增长"

page 10/14,表6面板协整检验

panel v-stat ,

panel rho-stat

panel pp-stat

panel adf-stat

group rho-stat

group pp-stat

group adf-stat

也是用 Peter Pedroni提出的方法

用winrats PANCOINT做的,

所以你只要有数据,就可在winrats执行

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

zhangtao

2011-10-8 09:12:06

epoh 发表于 2011-10-6 08:11
zhangtao兄,你传错了你传的不是panel data,数据形态可以参考在gauss区块,我提供的pedroni_ppp.xls http:/ ...

winrats程序,必须配合不同的数据,做不同的更改

  N : cross-section units

  T : time periods

  k : number of regressors

epoh老师，您好！
   我传的就是面板数据，N是140，T是9年，K是12，被解释变量是wage.
epoh老师，您再仔细看看。我仔细研究了您提供的pedroni_ppp.xls ，发现您提供
的数据格式与我提供的数据格式实质上是一致的。
非常感谢！

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-8 11:11:42

哈哈!抱歉!抱歉!!

电脑里有太多mydata.xls,

眼花开错文件了.

不过你的文件还需要

依下列要求修改一下.

For unbalanced panels, you should enter into your data set
either blanks or the value NA for missing values,
so that the end result is that each member has uniform length T,
and the data is stacked into a column of length N*T.

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

zhangtao

2011-10-8 18:17:57

epoh老师，您好！
这句话and the data is stacked into a column of length N*T在实际操作中是什么意思？如何操作？
我不明白，您能不能举一个简单例子，我依照着操作。
非常感谢！

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-9 21:01:28

zhangtao兄:

year ind emp  wage cap
1976    NA NA NA
1977 7 5.041 13.1516 0.5894
1978 7 5.6 12.3018 0.6318
1979 7 5.015 12.8395 0.6771
1980 7 4.715 13.8039 0.6171
1981 7 4.093 14.2897 0.5076
1982 7 3.166 14.8681 0.4229
1983 7 2.936 13.7784 0.392
1984    NA NA    NA
1976    NA NA    NA
1977 7 71.319 14.7909 16.9363
1978 7 70.643 14.1036 17.2422
1979 7 70.918 14.9534 17.5413
1980 7 72.031 15.491  17.6574
1981 7 73.689 16.1969 16.7133
1982 7 72.419 16.1314 16.2469
1983 7 68.518 16.3051 17.3696
1984    NA    NA    NA

...........

不过你的数据T太小,bias会比较大,

可以参考Peter Pedroni文献,APPENDIX B

Small Sample Performance of Group Mean Panel FMOLS

with Heterogeneous Dynamics

N=10,T=10, bias= - 0.058

.....

N=10,T=100, bias= - 0.001

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-9 22:34:40

paneldols:
  *  dlags = number of leads and lags on the differenced RHS variables [2]
         (default=2)
  * lags  = number of lags for kernel estimator for variance [5]
         (default=5)
*****
dlags:
* Build the regressor list for the DOLS regression, starting with the RHS
* endogenous variables (with any prior adjustments), then adding the constant and
* the lags and leads of the differenced RHS endogenous variables.
*
dim reglist(0)
do i=1,m
compute reglist=%rladdone(reglist,xvec(i))
end do i
compute reglist=%rladdone(reglist,constant)
do i=1,m
compute reglist=%rladdlaglist(reglist,dxvec(i),%seq(-dlags,dlags))  *************
end do i
*****
*****
lags:
* Compute the long-run variance of the residuals.
*
mcov(lwindow=bartlett,lags=lags,noprint) 2 jperiods
# dolsres
********

dlag 的选择可以参考

Data Dependent Endogeneity Correction in Cointegrated Panels.pdf

(抱歉上传不了)

我记得好像有gauss code

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

suhongwei127

2011-10-10 06:18:42

epoh 发表于 2011-10-9 22:34
paneldols:
* dlags = number of leads and lags on the differenced RHS variables [2]
...

是不是可以这样理解，如果不需要计算残差的方差，那么LAG的选择就不重要了

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-10 07:53:16

MCOV — Consistent Covariance Matrices
mcov( options ) start end list of resids
# list of variables in regression format
options:
lwindow=neweywest/bartlett/damped/parzen/
            quadratic/[flat]/panel/white
lags=correlated lags
       LAGS gives the bandwidth
******
Examples
mcov(lwindow=bartlett,lags=lags) startl+1 endl resids
# constant
computes an estimate of the spectral density of RESIDS at frequency zero, using
“LAGS” lags. The computed matrix (which here will be 1x1) will be in %CMOM.
[%CMOM] : SYMMETRIC array for computed matrix
******
paneldols:
* Compute the long-run variance of the residuals.
*
mcov(lwindow=bartlett,lags=lags,noprint) 2 jperiods
# dolsres
compute idlrvar = %cmom(1,1)/(jperiods-1)
*
* Pull out of this regression:
*  1. The coefficients on the RHS endogenous variables
*  2. The covariance matrix of those coefficients
*  3. The precision matrix of those coefficients (inv of #2)
*  4. The matrix of reciprocal square roots of the diagonal elements of the
*    covariance matrix. That's the weighting matrix for the coefficients which
*    will match up with the averaged t-statistics.
*
compute bdols=%xsubvec(%beta,1,m)
compute vdols=%xsubmat(%xx,1,m,1,m)*idlrvar
compute hdols=inv(vdols)
compute ddols=inv(%sqrt(%diag(%xdiag(vdols))))
*
* Compute t-stat vs the hypothesized vector
*
ewise tdols(i)  = (bdols(i)-bvec(i))*ddols(i,i)
*****************

Compute the long-run variance of the residuals.

用于计算t-statistics

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-10 22:00:37

以data su.xls而言

缺失数据移除后:

   30, 32, 26, 20, 22
   32, 19, 22, 22, 17
   16, 26, 22, 19, 22
   22, 21
@paneldols(dlags=1,lags=1,bvec=||1.0, 1.0||,print=full,average=simple,$
ibetas=dolsbeta,itstats=dolststat)
# rsca tt gl

   ENTRY          RSCA          TT             GL
   1//1978:01 0.257641839609    NA       0.156015173234
   1//1979:01 0.307419077479  0.553063566057 0.194814596798
   1//1980:01 0.262577662442  0.442310123828 0.229375365193
   1//1981:01 0.303105769603  0.445302107996 0.194061481224
   1//1982:01 0.301117251300  0.420500118290 0.218151668183
   1//1983:01  -0.012388199413  0.411642089372 0.200560824263
   1//1984:01 0.349557828965  0.472841912637 0.257193965796
   1//1985:01 0.315739766193  0.592881533136 0.254707867204
   1//1986:01 0.271698054286  0.688418397365 0.239100151039
   1//1987:01 0.269137372944    NA       0.257429700575
   1//1988:01 0.283158495448  1.140386101428 0.303810355350
   1//1989:01 0.287574771241  0.966916909964 0.352827342356
   1//1990:01 0.284783959955  0.991608848975 0.384850657079
   1//1991:01 0.275336294516  1.153822150107 0.370298078518
   1//1992:01 0.250821583719  1.109294960073 0.363212498554
   1//1993:01 0.222448371012  1.141289139152 0.371818360876
   1//1994:01 0.236197899843  1.370573767360 0.413914530739
   1//1995:01 0.224694548483  1.533196234874 0.486019239510
   1//1996:01 0.208729510009  1.495223523197 0.574993559838
   1//1997:01 0.188110745753  1.488179508618 0.614294551892
   1//1998:01 0.145103687851  1.331365361857 0.639879768690
   1//1999:01 0.164797227270  1.330451331081 0.594415331583
   1//2000:01 0.135730353165  1.485715290455 0.641917851470
   1//2001:01 0.131994102172  1.497637573517 0.672226769409
   1//2002:01  -0.230507469429  1.634081577551 0.674705525836
   1//2003:01 0.081186482580  1.665875993369 0.716799147617
   1//2004:01 0.091734108500  1.828384057861 0.685992082574
   1//2005:01 0.107492807574  1.682804420641 0.627041958829
   1//2006:01 0.104976326470  1.645793289263 0.676911258771
   1//2007:01 0.077111029215  1.463276457608 0.635252909934
   1//2008:01 0.110737241644  1.623064492461 0.600914991040
   1//2009:01 0.173704142070  1.634624534144 0.524715909043
************

第一个unit : 差分1,dlag lag 1,

缺失2,dlag lead 1 .

所以dolsres由1980 ~ 2006

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

zhangtao

2011-10-24 19:24:29

epoh 发表于 2011-10-10 07:53
MCOV — Consistent Covariance Matrices
mcov( options ) start end list of resids
# list of variable ...

epoh老师，您好！
您的这个MCOV估计程序我怎么没有看到？
您能提供程序和说明一下如何使用吗？
非常感谢！

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-10-24 20:37:24

是这样的,zhangtao兄

楼主问@paneldols(dlags=5,lags=5,bvec=||1.0||,print=short,average=simple)

# logexrate logratio

lags的问题

所以我才引用paneldols.src中的一段代码

paneldols:

* Compute the long-run variance of the residuals.

mcov(lwindow=bartlett,lags=lags,noprint) 2 jperiods

# dolsres

compute idlrvar = %cmom(1,1)/(jperiods-1)

告诉他这里有用到function mcov()

详细可参考RATS 7.0 Reference Manual, page 305/632

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

annietang111

2011-11-1 13:17:57

epoh 你好，怎样才能获得残差？具体怎么操作？是在dols估计后直接输入以下命令？
linreg(noprint) dvec(1) 2 jperiods dolsres

# reglist

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-11-1 18:44:38

修改程序在8楼

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

annietang111

2011-11-3 13:49:32

epoh，非常感谢！

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

kk22boy

2011-11-22 10:33:06

恩，谢谢epoh老师
呵呵，已经在会务区帮您申请奖励了！

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

epoh

2011-11-22 11:28:16

kk22boy 发表于 2011-11-22 10:33
恩，谢谢epoh老师
呵呵，已经在会务区帮您申请奖励了！

哈哈!感谢kk22boy兄
能帮的上别人,
其实也是自己的荣幸.
就怕自己不知量力.

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

kk22boy

2011-11-22 11:43:56

我承认论坛里边卧虎藏龙，各种高手如云
但像您这样无私慷慨，热心帮助别人的人还真不多见
不知epoh兄是做什么的
感觉您好像什么软件都很精通，R、sas、matlab。。。
呵呵，真得好好像您学习

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

最佳答案

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

扫码加我 拉你入群

分享

扫码加好友，拉您进群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群

扫码加我拉你入群