*! version 1.1 02june2021 Matteo Pinna, matteo.pinna@gess.ethz.ch
* version 1.1 adds diagnostics for the perturbationtest, modifies/adds the display and command options, introduces the first option and sets regressions to run quietly by default for tests.
* Any feedback on issues and possible new features is very welcome.
cap program drop multicoefplot
program define multicoefplot, rclass sortpreserve
version 15.1
syntax namelist(min=1 max=1) [if] [in], ///
/* mandatory options */ window(string) TREATMENT1(string) [ ///
/* regression */ noCONStant savetables(string) savetex(string) level(string) first ///
/* treatment */ treatment2(string) treatment3(string) ///
/* FE's */ ABSORB1(string) absorb2(string) absorb3(string) ///
/* controls */ CONTROLS1(varlist) controls2(varlist) controls3(varlist) ///
/* time controls */ TIMECONTROLS1(string) timecontrols2(string) timecontrols3(string) ///
/* time absorb */ TIMEABSORB1(string) timeabsorb2(string) timeabsorb3(string) ///
/* standard errors */ CLUSTER1(varname) VCE1(string) cluster2(varname) vce2(string) cluster3(varname) vce3(string) ///
/* weights */ AWEIGHT1(varname) FWEIGHT1(varname) aweight2(varname) fweight2(varname) aweight3(varname) fweight3(varname) ///
/* fstatistic tuplestest multitest leaveoneouttest and perturbationtest */ fstat tuplestest(varlist) multitest(string) perturbationtest(varname) leaveoneouttest(string) testcicolor(string) testcoefcolor(string) ///
/* graph options */ time(string) SPECCOLOR1(string) speccolor2(string) speccolor3(string) offset(string) legend(string) symbols COMmand DIsplay ///
SYMBOL1(string) symbol2(string) symbol3(string) ytitle(string) xtitle(string) yline(string) xline(string) ysize(string) xsize(string) xlabel(string) ylabel(string) ///
]
set more off
* check programs
* addplot check
capt which coefplot
if _rc !=0 {
di as error "Multicoefplot requires coefplot to be installed. Coefplot can be installed by typing ssc install coefplot"
}
capt which reghdfe
if _rc !=0 {
di as error "Multicoefplot requires reghdfe to be installed. Reghdfe can be installed by typing ssc install reghdfe"
}
capt which ivreghdfe
if _rc !=0 {
di as error "Multicoefplot requires ivreghdfe to be installed. Ivreghdfe can be installed by typing ssc install ivreghdfe"
}
capt which tuples
if _rc !=0 {
di as error "Multicoefplot requires tuples to be installed. Tuples can be installed by typing ssc install tuples"
}
* Parse varlist into y-vars and x-var
local y_vars=regexr("`namelist'"," `x_var'$","")
local ynum=wordcount("`y_vars'")
* Quiet for tests
if ("`display'"=="") local display "qui"
if ("`display'"=="display") local display ""
* level perturbation
if ("`level'"!="") local level_pt=`level'
if ("`level'"=="") local level_pt=0.05
* window parsing
/* wip
local forv_win1=strpos("`window'","(")
local forv_win2=strpos("`window'","/")
local forv_win3=strpos("`window'","to")
local forv_win4=strpos("`window'",":")
local forv_win=forv_win1+forv_win2+forv_win3+forv_win4
*/
local win_iter_counter=0
forvalues win_iteration = `window' {
local win_iter_counter=`win_iter_counter'+1
if (`win_iter_counter'==1) local start=`win_iteration'
if (`win_iter_counter'==2) local second=`win_iteration'
local end=`win_iteration'
}
local window_rhs=subinstr("`window'","`start'","",1)
* to think about ---- if ("`second'"=="") local second=`start'
* OLD local start `: word 1 of `window''
* OLD local end `: word 2 of `window''
* errors and warnings
* balanced outcome
forvalues interval=`window'{
capture confirm variable `y_vars'`interval'
if _rc {
di as error "`y_vars'`interval' does not exist - please include a balanced outcome variable"
exit
}
}
* balanced and time controls
if ("`timecontrols1'"!="")|("`timecontrols2'"!="")|("`timecontrols3'"!="") {
di as text "WARNING: timecontrols should always be checked to be balanced over the time of analysis"
}
if ("`treatment1'"=="") {
di as error "Treatment1 must be specified"
exit
}
* TESTS
if ("`tuplestest'"!="")&(("`multitest'"!="")|("`leaveoneouttest'"!="")|("`perturbationtest'"!="")) {
di as error "Only one test at the time can be performed"
exit
}
if ("`multitest'"!="")&(("`leaveoneouttest'"!="")|("`perturbationtest'"!="")) {
di as error "Only one test at the time can be performed"
exit
}
if ("`leaveoneouttest'"!="")&("`perturbationtest'"!="") {
di as error "Only one test at the time can be performed"
exit
}
if ("`multitest'"!="") {
di as text "WARNING: global names for the multitest should be as short as possible e.g. var1 or v1"
}
if ("`tuplestest'"!="")|("`multitest'"!="")|("`perturbationtest'"!="")|("`leaveoneouttest'"!="") {
forvalues num=2/3{
if ("`treatment`num''"!="")|("`absorb`num''"!="")|("`timecontrols`num''"!="")|("`controls`num''"!="")|("`cluster`num''"!="")|("`vce`num''"!="")|("`aweight`num''"!="")|("`fweight`num''"!="")|("`speccolor`num''"!=""){
di as error "Only options for specification 1 can be specified when running a test"
exit
}
}
}
if ("`time'"!="") {
if ("`time'"!="year")&("`time'"!="month")&("`time'"!="week")&("`time'"!="day") {
di as error "WARNING: time can be either year, month, week or day"
}
}
* which specs have to be run (SPECIFICATION 1 has to be run to run 2 and/or 3))
forvalues spec = 1/3{
if "`treatment`spec''"!="" | "`aweight`spec''"!="" | "`fweight`spec''"!="" | "`absorb`spec''"!="" | "`timecontrols`spec''"!="" | "`controls`spec''"!="" | "`vce`spec''"!="" | "`cluster`spec''"!="" {
local spec_num`spec'="1"
}
}
if "`spec_num1'"=="1" & "`spec_num2'"=="" & "`spec_num3'"==""{
local spec_to_run="1/1"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="1" & "`spec_num3'"==""{
local spec_to_run="1/2"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="" & "`spec_num3'"=="1"{
local spec_to_run="1(2)3"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="1" & "`spec_num3'"=="1"{
local spec_to_run="1/3"
}
* length of window
forvalues spec = `spec_to_run' {
local win_length`spec'=wordcount("`treatment`spec''")
}
* If the specification is created, non-specified necessary elements (treatment) from specs 2 and 3 are replaced with those of the first spec
forvalues num=2/3{
if "`spec_num`num''"=="1"{
if "`treatment`num''"=="" & "`treatment1'"!=""{
local treatment`num'="`treatment1'"
}
}
}
* which regtype to run based on the string in the treatment and makes modification depending on 2sls or ols and whether the treatment (or iv are time-varying)
forvalues spec = `spec_to_run' {
local timepos`spec'=strpos("`treatment`spec''","varying(")
* time option not specified
if ("`timepos`spec''"=="0") {
local equal`spec'= strpos("`treatment`spec''","=")
local equalm1`spec'= `equal`spec''-1
* 2sls
if ("`equal`spec''"!="0") {
local regtype`spec'="ivreghdfe"
local treatmentstring`spec'="(`treatment`spec'')"
local treatmentbeta`spec'=substr("`treatment`spec''",1,`equalm1`spec'')
}
* no 2sls
if ("`equal`spec''"=="0") {
local regtype`spec'="reghdfe"
local treatmentstring`spec'="`treatment`spec''"
local treatmentbeta`spec'="`treatment`spec''"
}
}
* time option specified
if ("`timepos`spec''"!="0") {
local starttimetreatments`spec'=`timepos`spec''+8
local endtimetreatments`spec'=length("`treatment`spec''")-`starttimetreatments`spec''
local equal`spec'= strpos("`treatment`spec''","=")
local equalm1`spec'= `equal`spec''-1
local equalp1`spec'= `equal`spec''+1
local stringtimetreatments`spec'=substr("`treatment`spec''",`starttimetreatments`spec'',`endtimetreatments`spec'')
* 2sls
if ("`equal`spec''"!="0") {
local regtype`spec'="ivreghdfe"
local endivlist`spec'=strpos("`treatment`spec''",",")
local treatmentbeta`spec'=substr("`treatment`spec''",1,`equalm1`spec'')
* if the instrumented var is time varying
local treatmentinlist`spec'=0
foreach var in `stringtimetreatments`spec''{
if ("`var'"=="`treatmentbeta`spec''") local treatmentinlist`spec'=1
}
if `treatmentinlist`spec''==1 {
local treatmentbeta`spec'="`treatmentbeta`spec''"+"`"+`"interval"'+"'"
}
* if the instruments are time varying
local ivlistlength`spec'=`endivlist`spec''-`equalp1`spec''
local ivlist`spec'=substr("`treatment`spec''",`equalp1`spec'',`ivlistlength`spec'')
local intersection`spec':list stringtimetreatments`spec' & ivlist`spec'
local notime`spec':list ivlist`spec'-stringtimetreatments`spec'
local intersectionnumber: word count `intersection`spec''
tokenize `intersection`spec''
if `treatmentinlist`spec''==1 {
if ("`intersectionnumber'"=="0") local treatmentstring`spec'="(`treatmentbeta`spec''" +"`"+`"interval"'+"'" + "=`notime`spec''" + ")"
if ("`intersectionnumber'"=="1") local treatmentstring`spec'="(`treatmentbeta`spec''" +"`"+`"interval"'+"'" + "=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + ")"
if ("`intersectionnumber'"=="2") local treatmentstring`spec'="(`treatmentbeta`spec''" +"`"+`"interval"'+"'" + "=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + ")"
if ("`intersectionnumber'"=="3") local treatmentstring`spec'="(`treatmentbeta`spec''" +"`"+`"interval"'+"'" + "=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + " " + "`3'" +"`"+`"interval"'+"'"+ ")"
if ("`intersectionnumber'"=="4") local treatmentstring`spec'="(`treatmentbeta`spec''" +"`"+`"interval"'+"'" + "=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + " " + "`3'" +"`"+`"interval"'+"'" + " " + "`4'" +"`"+`"interval"'+"'" + ")"
if ("`intersectionnumber'"=="5") local treatmentstring`spec'="(`treatmentbeta`spec''" +"`"+`"interval"'+"'" + "=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + " " + "`3'" +"`"+`"interval"'+"'" + " " + "`4'" +"`"+`"interval"'+"'" + " " + "`5'" +"`"+`"interval"'+"'"+ ")"
}
if `treatmentinlist`spec''==0 {
if ("`intersectionnumber'"=="1") local treatmentstring`spec'="(`treatmentbeta`spec''=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + ")"
if ("`intersectionnumber'"=="2") local treatmentstring`spec'="(`treatmentbeta`spec''=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + ")"
if ("`intersectionnumber'"=="3") local treatmentstring`spec'="(`treatmentbeta`spec''=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + " " + "`3'" +"`"+`"interval"'+"'"+ ")"
if ("`intersectionnumber'"=="4") local treatmentstring`spec'="(`treatmentbeta`spec''=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + " " + "`3'" +"`"+`"interval"'+"'" + " " + "`4'" +"`"+`"interval"'+"'" + ")"
if ("`intersectionnumber'"=="5") local treatmentstring`spec'="(`treatmentbeta`spec''=`notime`spec''" + " " + "`1'" +"`"+`"interval"'+"'" + " " + "`2'" +"`"+`"interval"'+"'" + " " + "`3'" +"`"+`"interval"'+"'" + " " + "`4'" +"`"+`"interval"'+"'" + " " + "`5'" +"`"+`"interval"'+"'"+ ")"
}
}
* no 2sls
if ("`equal`spec''"=="0") {
local endlist`spec'=strpos("`treatment`spec''",",")-1
local regtype`spec'="reghdfe"
local treatmentstring`spec'=substr("`treatment`spec''",1,`endlist`spec'')+"`"+`"interval"'+"'"
local treatmentbeta`spec'=substr("`treatment`spec''",1,`endlist`spec'')+"`"+`"interval"'+"'"
}
}
}
* idee
* create local with string before equal and string after, creating the local of strings after adding the interval
*if ("`timetreatment`spec''"!=""){
*local addinterval`spec'="`"+`"interval"'+"'"
*}
/* ATTEMPT to make time ivs iteratively, problem in keeping local non-substituted after multiple loops
local intersection_counter`spec'=0
foreach var in `intersection`spec'' {
local intersection_counter`spec'=`intersection_counter`spec''+1
if `intersection_counter`spec''==1 {
*local ivlist_withinterval`spec'="`var'"+"`"+`"interval"'+"'"
local ivlist_withinterval`spec'="`var'"+"`"+"`"+"'+`"interval"'+`"+"'+"'"" /* PROBLEM need to add the addinterval local to the list - might have to define it in the regression */
di "`ivlist_withinterval`spec'''"
}
if `intersection_counter`spec''>1 {
local ivlist_withinterval`spec'="`ivlist_withinterval`spec''"+" "+"`var'"+`""`"`"interval"'"'""'
}
}
*/
* PERTURBATION TEST
if ("`perturbationtest'"!="") {
levelsof `perturbationtest', local(vals_perturbation_test)
local max_pt_iter: word count `vals_perturbation_test'
local additeration "`"+"pt_iteration"+"'"
if ("`if'"=="") local ifperturbationtest="if `perturbationtest'!=`additeration'"
if ("`if'"!="") local ifperturbationtest="& `perturbationtest'!=`additeration'"
}
* TUPLES TEST
if ("`tuplestest'"!="") {
tuples `tuplestest'
local tuplesvarnumber: word count `tuplestest'
local tuplesnumber=(2^`tuplesvarnumber')-1
* the controls in controls that are inserted in tuplestest are dropped from controls
local controls1: list controls1-tuplestest
}
* LEAVE ONE OUT TEST
if ("`leaveoneouttest'"!="") {
local leaveoneoutvarnumber: word count `leaveoneouttest'
local leave_counter=0
foreach var in `leaveoneouttest'{
local leave_counter=`leave_counter'+1
local leave`leave_counter': list leaveoneouttest-var
}
}
/** Parse timecontrols OLD VERSION, WORKING ONLY WITH 2 VARS
forvalues spec = `spec_to_run' {
if ("`timecontrols`spec''"!="") {
local counter_tvcontrols`spec'=0
foreach timevaryingcontrol in `timecontrols`spec''{
local counter_tvcontrols`spec'=`counter_tvcontrols`spec''+1
if "`counter_tvcontrols`spec''"=="1"{
local timecontrols`spec'= "`timevaryingcontrol'"+"`"+`"interval"'+"'"
}
if (`counter_tvcontrols`spec''>1){
local timecontrols`spec'= "`timecontrols`spec''"+"`"+`"interval"'+"'"+" "+"`timevaryingcontrol'"+"`"+`"interval"'+"'"
}
}
}
}
*/
* Add interval to time controls
forvalues spec = `spec_to_run' {
if ("`timecontrols`spec''"!=""){
local timecontrolsnumber`spec'=wordcount("`timecontrols`spec''")
local timecontrols_clean`spec'="`: word 1 of `timecontrols`spec'''"+" "
forvalues order=2/`timecontrolsnumber`spec''{
cap local timecontrols_clean`spec'="`timecontrols_clean`spec''"+"`: word `order' of `timecontrols`spec'''"+" "
}
forvalues interval=`window'{
local timecontrols`spec'_`interval'=subinstr("`timecontrols_clean`spec''"," ","`interval' ",.)
}
}
}
* Add interval to time absorb
if ("`timeabsorb1'"!="")|("`timeabsorb2'"!="")|("`timeabsorb3'"!=""){
forvalues spec = `spec_to_run' {
local timeabsorbnumber`spec'=wordcount("`timeabsorb`spec''")
local timeabsorb_clean`spec'="`: word 1 of `timeabsorb`spec'''"+" "
forvalues order=2/`timeabsorbnumber`spec''{
cap local timeabsorb_clean`spec'="`timeabsorb_clean`spec''"+"`: word `order' of `timeabsorb`spec'''"+" "
}
forvalues interval=`window'{
local timeabsorb`spec'_`interval'=subinstr("`timeabsorb_clean`spec''"," ","`interval' ",.)
}
}
}
* Creates strings to add as option to regressions to run ******
forvalues spec = `spec_to_run' {
* weights, either one can be specified
if ("`aweight`spec''"!=""){
local wt`spec' "[aweight=`aweight`spec'']"
}
if ("`fweight`spec''"!=""){
local wt`spec' "[fweight=`fweight`spec'']"
}
* absorb
if ("`absorb`spec''"!="") | ("`timeabsorb`spec''"!="") {
local regabsorb`spec'="absorb(" + "`absorb`spec''" + " " + "`" + "timeabsorb`spec'_"+"`"+`"interval"'+"'"+"'"+")"
}
if ("`absorb`spec''"=="") & ("`timeabsorb`spec''"=="") {
if "`regtype`spec''"=="reghdfe" {
local regabsorb`spec'="noabsorb"
}
if "`regtype`spec''"=="ivreghdfe" {
local regabsorb`spec'=""
}
}
* s.e., either one can be specified
if ("`cluster`spec''"!=""){
local addcluster`spec'="cluster(`cluster`spec'')"
}
if ("`vce`spec''"!=""){
local addvce`spec'="vce(`vce`spec'')"
if "`regtype`spec''"=="ivreghdfe" {
local addvce`spec'="robust"
}
}
}
* levels
if ("`level'"!=""){
local level="level(`level')"
}
****** Estimation foreach interval and treatment ******
* PERTURBATION TEST
if "`perturbationtest'"!=""{
if ("`if'"!="") local ifperturbation=substr("`if'",3,.)
if ("`if'"!="") local ifperturbation="if (`ifperturbation')"
local counter_saving=0
foreach pt_iteration in `vals_perturbation_test' {
local counter_saving=`counter_saving'+1
eststo clear
forvalues spec = 1/1 {
if "`command'"!=""{
di "`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `ifperturbation' `ifperturbationtest' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'"
}
forvalues interval=`window'{
if "`savetables'"!=""{
`display' eststo:`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `ifperturbation' `ifperturbationtest' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
if "`savetables'"==""{
`display' `regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `ifperturbation' `ifperturbationtest' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
qui lincom _b[`treatmentbeta`spec'']
local coef_`pt_iteration'_`spec'_`interval'=r(estimate)
local lb_`pt_iteration'_`spec'_`interval'=r(lb)
local ub_`pt_iteration'_`spec'_`interval'=r(ub)
local pi_`pt_iteration'_`spec'_`interval'=r(p)
}
matrix esample_`pt_iteration'_`spec'=e(N)
}
* Generate strings for matrixes and matrixes - based on number of coefficients plotted and iterated
forvalues spec = 1/1 {
* coefficients and rownames
local coefmatrixstring_`pt_iteration'_`spec'="`coef_`pt_iteration'_`spec'_`start''"
local rownamesstring_`pt_iteration'_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local coefmatrixstring_`pt_iteration'_`spec'="`coefmatrixstring_`pt_iteration'_`spec''"+"\"+"`coef_`pt_iteration'_`spec'_`interval''"
local rownamesstring_`pt_iteration'_`spec'="`rownamesstring_`pt_iteration'_`spec''"+" "+"_`interval'"
}
* pvalue
local pimatrixstring_`pt_iteration'_`spec'="`pi_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local pimatrixstring_`pt_iteration'_`spec'="`pimatrixstring_`pt_iteration'_`spec''"+"\"+"`pi_`pt_iteration'_`spec'_`interval''"
}
* confidence interval
local cimatrixstring_`pt_iteration'_`spec'="`lb_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`lb_`pt_iteration'_`spec'_`interval''"
}
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+"\"+"`ub_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`ub_`pt_iteration'_`spec'_`interval''"
}
matrix define matrix_coef_`pt_iteration'_`spec'=(`coefmatrixstring_`pt_iteration'_`spec'')
matrix rownames matrix_coef_`pt_iteration'_`spec'=`rownamesstring_`pt_iteration'_`spec''
matrix colnames matrix_coef_`pt_iteration'_`spec'=b
matrix matrix_coef_`pt_iteration'_`spec'=matrix_coef_`pt_iteration'_`spec''
matrix define matrix_ci_`pt_iteration'_`spec'=(`cimatrixstring_`pt_iteration'_`spec'')
matrix define matrix_pi_`pt_iteration'_`spec'=(`pimatrixstring_`pt_iteration'_`spec'')
matrix matrix_pi_`pt_iteration'_`spec'=matrix_pi_`pt_iteration'_`spec''
}
if "`savetables'"!=""{
if `counter_saving'==1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001)
}
if `counter_saving'>1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001) append
}
}
}
* Generate diagnostics
if "do"=="do"Â {
forvalues spec = 1/1 {
forvalues interval=`window'{
qui `regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level'
qui lincom _b[`treatmentbeta`spec'']
local m_coef_`spec'_`interval'=r(estimate)
local m_lb_`spec'_`interval'=r(lb)
local m_ub_`spec'_`interval'=r(ub)
local m_pi_`spec'_`interval'=r(p)
}
matrix esample_1=e(N)
}
forvalues spec = 1/1 {
* coefficients and rownames
local m_coefmatrixstring_`spec'="`m_coef_`spec'_`start''"
local m_rownamesstring_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local m_coefmatrixstring_`spec'="`m_coefmatrixstring_`spec''"+"\"+"`m_coef_`spec'_`interval''"
local m_rownamesstring_`spec'="`m_rownamesstring_`spec''"+" "+"_`interval'"
}
* pvalue
local m_pimatrixstring_`spec'="`m_pi_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local m_pimatrixstring_`spec'="`m_pimatrixstring_`spec''"+"\"+"`m_pi_`spec'_`interval''"
}
matrix define m_matrix_coef_`spec'=(`m_coefmatrixstring_`spec'')
matrix rownames m_matrix_coef_`spec'=`m_rownamesstring_`spec''
matrix colnames m_matrix_coef_`spec'=b
matrix m_matrix_coef_`spec'=m_matrix_coef_`spec''
matrix define m_matrix_pi_`spec'=(`m_pimatrixstring_`spec'')
matrix m_matrix_pi_`spec'=m_matrix_pi_`spec''
}
* create matrix
foreach pt_iteration in `vals_perturbation_test' {
matrix m_matrix_coef_1=m_matrix_coef_1\matrix_coef_`pt_iteration'_1
matrix m_matrix_pi_1=m_matrix_pi_1\matrix_pi_`pt_iteration'_1
matrix esample_1=esample_1\esample_`pt_iteration'_1
}
* Bulding data and run checks
preserve
cap drop *coef_pt*
cap drop *pi_pt*
cap drop sample_pt*
svmat double m_matrix_coef_1, name(coef_pt)
svmat double m_matrix_pi_1, name(pi_pt)
svmat double esample_1, name(sample_pt)
qui keep *coef_pt* *pi_pt* sample_pt1
qui dropmiss, obs force
qui gen it=_n
forvalues interval=1/`win_iter_counter'{
qui replace pi_pt`interval'=pi_pt`interval'<=`level_pt'
}
forvalues interval=1/`win_iter_counter'{
qui replace coef_pt`interval'=. if pi_pt`interval'==0 & it>1
}
forvalues interval=1/`win_iter_counter'{
qui replace coef_pt`interval'=coef_pt`interval'>0 if coef_pt`interval'!=.
}
forvalues interval=1/`win_iter_counter'{
qui gen change_coef_pt`interval'=coef_pt`interval'
if change_coef_pt`interval'[1]==1{
qui replace change_coef_pt`interval'=1 if coef_pt`interval'!=1 & coef_pt`interval'!=. & it>1
qui replace change_coef_pt`interval'=0 if coef_pt`interval'==1 | coef_pt`interval'==. & it>1
}
if change_coef_pt`interval'[1]==0{
qui replace change_coef_pt`interval'=0 if coef_pt`interval'==. & it>1
}
}
forvalues interval=1/`win_iter_counter'{
qui gen change_pi_pt`interval'=pi_pt`interval'
if change_pi_pt`interval'[1]==1{
qui replace change_pi_pt`interval'=1 if pi_pt`interval'!=1 & pi_pt`interval'!=. & it>1
qui replace change_pi_pt`interval'=0 if pi_pt`interval'==1 & pi_pt`interval'!=. & it>1
}
}
foreach element in coef pi{
qui gen tot_estim_change_`element'=0 if it>1
forvalues interval=1/`win_iter_counter'{
qui egen tot_iter_change_`element'_pt`interval'=total(change_`element'_pt`interval') if it>1 & change_`element'_pt`interval'!=. /* column total */
qui replace tot_estim_change_`element'=tot_estim_change_`element'+change_`element'_pt`interval' if it>1 /* row total */
}
}
foreach element in coef pi{
forvalues interval=1/`win_iter_counter'{
if `interval'==1{
local total_`element'_changing=tot_iter_change_`element'_pt`interval'[2]
}
if `interval'>1{
local total_`element'_changing=`total_`element'_changing'+tot_iter_change_`element'_pt`interval'[2] /* colums total is always the same, above line 1, so sum across intervals for tot num */
}
}
if (`total_`element'_changing'==.) local total_`element'_changing=0
}
foreach element in coef pi{
forvalues interval=1/`win_iter_counter'{
qui gen tot_iter_change_`element'_pt`interval'_b1=tot_iter_change_`element'_pt`interval'>0 if tot_iter_change_`element'_pt`interval'!=. & it>1 /* columns if column>1, to track if there's at least 1 change for a single estimate different samples */
}
}
foreach element in coef pi{
local est_1pert_`element'_changing=0
forvalues interval=1/`win_iter_counter'{
local est_1pert_`element'_changing= `est_1pert_`element'_changing' + tot_iter_change_`element'_pt`interval'_b1[2] /* how many estimates have issues in the samples */
if (`est_1pert_`element'_changing'==.) local est_1pert_`element'_changing=0
}
}
local max_sample_size=sample_pt1[1]
foreach element in coef pi{
qui egen max_tot_estim_change_`element'=max(tot_estim_change_`element') if it>1 /* max number of estimates changed by a sample (or more than one) */
local max_tot_estim_change_`element'=max_tot_estim_change_`element'[2]
qui count if tot_estim_change_`element'>0 & it>1 /* how many samples are changing at least one estimate */
local iter_1est_`element'_changing=r(N)
qui egen val_min_perturbation_`element'=min(sample_pt1) if tot_estim_change_`element'>0 & tot_estim_change_`element'!=. & it>1
qui ereplace val_min_perturbation_`element'=max(val_min_perturbation_`element') if it>1
local val_min_perturbation_`element'=val_min_perturbation_`element'[2]
local val_min_perturbation_`element'=`max_sample_size'-`val_min_perturbation_`element''
if (`val_min_perturbation_`element''==.) local val_min_perturbation_`element'=0
qui egen val_max_perturbation_`element'=min(sample_pt1) if tot_estim_change_`element'==max_tot_estim_change_`element' & max_tot_estim_change_`element'!=0 & max_tot_estim_change_`element'!=. & it>1
qui ereplace val_max_perturbation_`element'=max(val_max_perturbation_`element') if it>1
local val_max_perturbation_`element'=val_max_perturbation_`element'[2]
local val_max_perturbation_`element'=`max_sample_size'-`val_max_perturbation_`element''
if (`val_max_perturbation_`element''==.) local val_max_perturbation_`element'=0
}
**********
foreach element in coef pi{
local min_perturbation_`element' = `val_min_perturbation_`element''*100/`max_sample_size'
local max_perturbation_`element' = `val_max_perturbation_`element''*100/`max_sample_size'
local overall_stability_`element' = `total_`element'_changing'*100/(`max_pt_iter'*`win_iter_counter')
local total_estimations = `max_pt_iter'*`win_iter_counter'
local estimates_stability_`element' = `est_1pert_`element'_changing'*100/`win_iter_counter'
local samples_stability_`element' = `iter_1est_`element'_changing'*100/`max_pt_iter'
local min_perturbation_`element' = round(`min_perturbation_`element'',0.01)
local max_perturbation_`element' = round(`max_perturbation_`element'',0.01)
local overall_stability_`element' = round(`overall_stability_`element'',0.01)
local estimates_stability_`element' = round(`estimates_stability_`element'',0.01)
local samples_stability_`element' = round(`samples_stability_`element'',0.01)
}
di "****************************************************************************************"
di " Sample Diagnostics | Significance | Sign "
di " -------------------------------------------------------------------------------------- "
di " Minimum Perturbation | `val_min_perturbation_pi'/`max_sample_size'=`min_perturbation_pi'% | `val_min_perturbation_coef'/`max_sample_size'= `min_perturbation_coef'% "
di " Maximum Perturbation | `val_max_perturbation_pi'/`max_sample_size'=`max_perturbation_pi'% | `val_max_perturbation_coef'/`max_sample_size'= `max_perturbation_coef'% "
di " ---------------------------"
di " Overall Stability | `total_pi_changing'/`total_estimations'=`overall_stability_pi'% | `total_coef_changing'/`total_estimations'=`overall_stability_coef'% "
di " Estimates Stability | `est_1pert_pi_changing'/`win_iter_counter'=`estimates_stability_pi'% | `est_1pert_coef_changing'/`win_iter_counter'=`estimates_stability_coef'% "
di " Samples Stability | `iter_1est_pi_changing'/`max_pt_iter'=`samples_stability_pi'% | `iter_1est_coef_changing'/`max_pt_iter'=`samples_stability_coef'% "
di "****************************************************************************************"
di " "
di " The Sample Diagnostics table offers some key statistics on the stability of the estimates in the main sample, throughout the subsamples."
di " The significance column shows changes in significance, while the sign column shows changes of sign, given that estimates are significant at the chosen threshold."
di " Minimum Perturbation: smallest sample drop causing a change of at least 1 estimate's significance/sign."
di " Maximum Perturbation: smallest sample drop causing a change of the highest number of estimates' significance/sign."
di " Overall Stability: number of estimates showing a change in significance/sign, summed across all subsamples, over the total number of estimatesXsubsamples."
di " Estimates Stability: number of estimates showing a change in significance/sign in at least 1 of the subsamples, over the total number estimates."
di " Samples Stability: number of subsamples showing a change in significance/sign for at least 1 of the estimates, over the total number of subsamples."
di " For more details, see Ash, Elliott and Pinna, Matteo, Automated checks for specification and sample sensitivity in panel data designs (2021) - soon to be available."
restore
}
*
}
* TUPLES TEST
if "`tuplestest'"!=""{
forvalues pt_iteration=1/`tuplesnumber'{
eststo clear
forvalues spec = 1/1 {
if "`command'"!=""{
di "`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `tuple`pt_iteration'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'"
}
forvalues interval=`window'{
if "`savetables'"!=""{
`display' eststo:`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `tuple`pt_iteration'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
if "`savetables'"==""{
`display' `regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `tuple`pt_iteration'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
qui lincom _b[`treatmentbeta`spec'']
local coef_`pt_iteration'_`spec'_`interval'=r(estimate)
local lb_`pt_iteration'_`spec'_`interval'=r(lb)
local ub_`pt_iteration'_`spec'_`interval'=r(ub)
}
}
* Generate strings for matrixes and matrixes - based on number of coefficients plotted and iterated
forvalues spec = 1/1 {
* coefficients and rownames
local coefmatrixstring_`pt_iteration'_`spec'="`coef_`pt_iteration'_`spec'_`start''"
local rownamesstring_`pt_iteration'_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local coefmatrixstring_`pt_iteration'_`spec'="`coefmatrixstring_`pt_iteration'_`spec''"+"\"+"`coef_`pt_iteration'_`spec'_`interval''"
local rownamesstring_`pt_iteration'_`spec'="`rownamesstring_`pt_iteration'_`spec''"+" "+"_`interval'"
}
* confidence interval
local cimatrixstring_`pt_iteration'_`spec'="`lb_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`lb_`pt_iteration'_`spec'_`interval''"
}
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+"\"+"`ub_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`ub_`pt_iteration'_`spec'_`interval''"
}
matrix define matrix_coef_`pt_iteration'_`spec'=(`coefmatrixstring_`pt_iteration'_`spec'')
matrix rownames matrix_coef_`pt_iteration'_`spec'=`rownamesstring_`pt_iteration'_`spec''
matrix colnames matrix_coef_`pt_iteration'_`spec'=b
matrix matrix_coef_`pt_iteration'_`spec'=matrix_coef_`pt_iteration'_`spec''
matrix define matrix_ci_`pt_iteration'_`spec'=(`cimatrixstring_`pt_iteration'_`spec'')
}
if "`savetables'"!=""{
if `pt_iteration'==1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001)
}
if `pt_iteration'>1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001) append
}
}
}
}
* Leave-one-out test
if "`leaveoneouttest'"!=""{
forvalues pt_iteration=1/`leaveoneoutvarnumber'{
eststo clear
forvalues spec = 1/1 {
if "`command'"!=""{
di "`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `leave`pt_iteration'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'"
}
forvalues interval=`window'{
if "`savetables'"!=""{
`display' eststo:`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `leave`pt_iteration'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
if "`savetables'"==""{
`display' `regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `leave`pt_iteration'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
qui lincom _b[`treatmentbeta`spec'']
local coef_`pt_iteration'_`spec'_`interval'=r(estimate)
local lb_`pt_iteration'_`spec'_`interval'=r(lb)
local ub_`pt_iteration'_`spec'_`interval'=r(ub)
}
}
* Generate strings for matrixes and matrixes - based on number of coefficients plotted and iterated
forvalues spec = 1/1 {
* coefficients and rownames
local coefmatrixstring_`pt_iteration'_`spec'="`coef_`pt_iteration'_`spec'_`start''"
local rownamesstring_`pt_iteration'_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local coefmatrixstring_`pt_iteration'_`spec'="`coefmatrixstring_`pt_iteration'_`spec''"+"\"+"`coef_`pt_iteration'_`spec'_`interval''"
local rownamesstring_`pt_iteration'_`spec'="`rownamesstring_`pt_iteration'_`spec''"+" "+"_`interval'"
}
* confidence interval
local cimatrixstring_`pt_iteration'_`spec'="`lb_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`lb_`pt_iteration'_`spec'_`interval''"
}
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+"\"+"`ub_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`ub_`pt_iteration'_`spec'_`interval''"
}
matrix define matrix_coef_`pt_iteration'_`spec'=(`coefmatrixstring_`pt_iteration'_`spec'')
matrix rownames matrix_coef_`pt_iteration'_`spec'=`rownamesstring_`pt_iteration'_`spec''
matrix colnames matrix_coef_`pt_iteration'_`spec'=b
matrix matrix_coef_`pt_iteration'_`spec'=matrix_coef_`pt_iteration'_`spec''
matrix define matrix_ci_`pt_iteration'_`spec'=(`cimatrixstring_`pt_iteration'_`spec'')
}
if "`savetables'"!=""{
if `pt_iteration'==1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001)
}
if `pt_iteration'>1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001) append
}
}
}
}
* MULTI TEST
if "`multitest'"!=""{
local counter_saving=0
foreach pt_iteration in `multitest'{
local counter_saving=`counter_saving'+1
eststo clear
* the controls in controls that are inserted in multitest are dropped from controls
local vars_multitest ${`pt_iteration'}
local controls`pt_iteration': list controls1-vars_multitest
forvalues spec = 1/1 {
if "`command'"!=""{
di "`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`pt_iteration'' ${`pt_iteration'} `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'"
}
forvalues interval=`window'{
if "`savetables'"!=""{
`display' eststo:`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`pt_iteration'' ${`pt_iteration'} `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
if "`savetables'"==""{
`display' `regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`pt_iteration'' ${`pt_iteration'} `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
qui lincom _b[`treatmentbeta`spec'']
local coef_`pt_iteration'_`spec'_`interval'=r(estimate)
local lb_`pt_iteration'_`spec'_`interval'=r(lb)
local ub_`pt_iteration'_`spec'_`interval'=r(ub)
}
}
* Generate strings for matrixes and matrixes - based on number of coefficients plotted and iterated
forvalues spec = 1/1 {
* coefficients and rownames
local coefmatrixstring_`pt_iteration'_`spec'="`coef_`pt_iteration'_`spec'_`start''"
local rownamesstring_`pt_iteration'_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local coefmatrixstring_`pt_iteration'_`spec'="`coefmatrixstring_`pt_iteration'_`spec''"+"\"+"`coef_`pt_iteration'_`spec'_`interval''"
local rownamesstring_`pt_iteration'_`spec'="`rownamesstring_`pt_iteration'_`spec''"+" "+"_`interval'"
}
* confidence interval
local cimatrixstring_`pt_iteration'_`spec'="`lb_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`lb_`pt_iteration'_`spec'_`interval''"
}
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+"\"+"`ub_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`ub_`pt_iteration'_`spec'_`interval''"
}
matrix define matrix_coef_`pt_iteration'_`spec'=(`coefmatrixstring_`pt_iteration'_`spec'')
matrix rownames matrix_coef_`pt_iteration'_`spec'=`rownamesstring_`pt_iteration'_`spec''
matrix colnames matrix_coef_`pt_iteration'_`spec'=b
matrix matrix_coef_`pt_iteration'_`spec'=matrix_coef_`pt_iteration'_`spec''
matrix define matrix_ci_`pt_iteration'_`spec'=(`cimatrixstring_`pt_iteration'_`spec'')
}
if "`savetables'"!=""{
if `counter_saving'==1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001)
}
if `counter_saving'>1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001) append
}
}
}
}
* NORMAL REGS
if "`perturbationtest'"=="" & "`tuplestest'"=="" & "`multitest'"=="" & "`leaveoneouttest'"=="" {
forvalues spec = `spec_to_run' {
if "`command'"!=""{
di "`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'"
}
eststo clear
forvalues interval=`window'{
if "`savetables'"!="" | "`savetex'"!=""{
eststo:`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
if "`savetables'"=="" & "`savetex'"==""{
`regtype`spec'' `y_vars'`interval' `treatmentstring`spec'' `timecontrols`spec'_`interval'' `controls`spec'' `wt`spec'' `if' `in', `regabsorb`spec'' `addvce`spec'' `addcluster`spec'' `constant' `level' `first'
}
if "`fstat'"==""{
qui lincom _b[`treatmentbeta`spec'']
local coef_`pt_iteration'_`spec'_`interval'=r(estimate)
local lb_`pt_iteration'_`spec'_`interval'=r(lb)
local ub_`pt_iteration'_`spec'_`interval'=r(ub)
}
if "`fstat'"!=""{
local coef_`pt_iteration'_`spec'_`interval'=e(rkf)
}
}
if "`savetex'"!=""{
esttab using `savetex'`spec'.tex, replace keep(`treatmentstring`spec''*) label order() collabels(, none) ml(,none) cells(b(star fmt (%9.3f)) se(par)) stats(r2 N, fmt(%9.3f %9.0g) labels("R$^2$" "N observations")) star(+ 0.10 * 0.05 ** 0.01 *** 0.001)
}
if "`savetables'"!=""{
if `spec'==1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001)
}
if `spec'>1{
esttab using `savetables', star(+ 0.10 * 0.05 ** 0.01 *** 0.001) append
}
}
}
* Generate strings for matrixes and matrixes - based on number of coefficients plotted and iterated
if "`fstat'"==""{
forvalues spec = `spec_to_run' {
* coefficients and rownames
local coefmatrixstring_`pt_iteration'_`spec'="`coef_`pt_iteration'_`spec'_`start''"
local rownamesstring_`pt_iteration'_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local coefmatrixstring_`pt_iteration'_`spec'="`coefmatrixstring_`pt_iteration'_`spec''"+"\"+"`coef_`pt_iteration'_`spec'_`interval''"
local rownamesstring_`pt_iteration'_`spec'="`rownamesstring_`pt_iteration'_`spec''"+" "+"_`interval'"
}
* confidence interval
local cimatrixstring_`pt_iteration'_`spec'="`lb_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`lb_`pt_iteration'_`spec'_`interval''"
}
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+"\"+"`ub_`pt_iteration'_`spec'_`start''"
forvalues interval=`second'`window_rhs' {
local cimatrixstring_`pt_iteration'_`spec'="`cimatrixstring_`pt_iteration'_`spec''"+","+"`ub_`pt_iteration'_`spec'_`interval''"
}
matrix define matrix_coef_`pt_iteration'_`spec'=(`coefmatrixstring_`pt_iteration'_`spec'')
matrix rownames matrix_coef_`pt_iteration'_`spec'=`rownamesstring_`pt_iteration'_`spec''
matrix colnames matrix_coef_`pt_iteration'_`spec'=b
matrix matrix_coef_`pt_iteration'_`spec'=matrix_coef_`pt_iteration'_`spec''
matrix define matrix_ci_`pt_iteration'_`spec'=(`cimatrixstring_`pt_iteration'_`spec'')
}
}
if "`fstat'"!=""{
forvalues spec = `spec_to_run' {
* coefficients and rownames
local coefmatrixstring_`pt_iteration'_`spec'="`coef_`pt_iteration'_`spec'_`start''"
local rownamesstring_`pt_iteration'_`spec'="_`start'"
forvalues interval=`second'`window_rhs' {
local coefmatrixstring_`pt_iteration'_`spec'="`coefmatrixstring_`pt_iteration'_`spec''"+"\"+"`coef_`pt_iteration'_`spec'_`interval''"
local rownamesstring_`pt_iteration'_`spec'="`rownamesstring_`pt_iteration'_`spec''"+" "+"_`interval'"
}
matrix define matrix_coef_`pt_iteration'_`spec'=(`coefmatrixstring_`pt_iteration'_`spec'')
matrix rownames matrix_coef_`pt_iteration'_`spec'=`rownamesstring_`pt_iteration'_`spec''
matrix colnames matrix_coef_`pt_iteration'_`spec'=b
matrix matrix_coef_`pt_iteration'_`spec'=matrix_coef_`pt_iteration'_`spec''
}
}
}
**** Coefplot ****
* Set default settings
* Titles
if ("`ytitle'"=="") & ("`fstat'"=="") local ytitle "`y_vars'"
if ("`ytitle'"=="") & ("`fstat'"!="") local ytitle "`y_vars' (F-stat)"
if ("`time'"=="") & ("`xtitle'"=="") local xtitle ""
if ("`time'"=="day") & ("`xtitle'"=="") local xtitle "Date"
if ("`time'"=="week") & ("`xtitle'"=="") local xtitle "Date"
if ("`time'"=="month") & ("`xtitle'"=="") local xtitle "Month"
if ("`time'"=="year") & ("`xtitle'"=="") local xtitle "Year"
* Spec color
if ("`speccolor1'"=="") local speccolor1 "navy"
if ("`speccolor2'"=="") local speccolor2 "maroon"
if ("`speccolor3'"=="") local speccolor3 "teal"
* Tests color
if ("`testcicolor'"=="") local testcicolor "teal"
if ("`testcoefcolor'"=="") local testcoefcolor "maroon"
* Offset
if("`offset'"=="") local offset=0.1
* Legend
if ("`legend'"=="off") {
local addlegend "off"
}
if ("`legend'"!="off") {
if "`fstat'"==""{
if ("`legend'"=="") {
if ("`perturbationtest'"=="") & ("`multitest'"=="") & ("`tuplestest'"=="") & ("`leaveoneouttest'"==""){
if "`spec_num1'"=="1" & "`spec_num2'"=="1" & "`spec_num3'"=="1"{
local addlegend "order(7 "Specification 1" 8 "Specification 2" 9 "Specification 3")"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="" & "`spec_num3'"==""{
local addlegend "order(3 "Specification 1")"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="1" & "`spec_num3'"==""{
local addlegend "order(5 "Specification 1" 6 "Specification 2")"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="" & "`spec_num3'"=="1"{
local addlegend "order(5 "Specification 1" 6 "Specification 3")"
}
}
if ("`perturbationtest'"!="") | ("`multitest'"!="") | ("`tuplestest'"!="")|("`leaveoneouttest'"!="") {
local addlegend "off"
}
}
if ("`legend'"!="") {
tokenize `"`legend'"', parse("123")
if ("`4'"=="")&("`6'"=="") {
local addlegend=`"order(3"' + `"""' + `"`2'"' + `"""')"'
}
if ("`4'"!="") & ("`6'"=="") {
local addlegend=`"order(5 "`2'" 6 "`4'")"'
}
if ("`4'"!="") & ("`6'"!="") {
local addlegend=`"order(7 "`2'" 8 "`4'" 9 "`6'")"'
}
}
}
if "`fstat'"!=""{
if ("`legend'"=="") {
if ("`perturbationtest'"=="") & ("`multitest'"=="") & ("`tuplestest'"=="") & ("`leaveoneouttest'"==""){
if "`spec_num1'"=="1" & "`spec_num2'"=="1" & "`spec_num3'"=="1"{
local addlegend "order(1 "Specification 1" 2 "Specification 2" 3 "Specification 3")"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="" & "`spec_num3'"==""{
local addlegend "order(1 "Specification 1")"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="1" & "`spec_num3'"==""{
local addlegend "order(1 "Specification 1" 2 "Specification 2")"
}
if "`spec_num1'"=="1" & "`spec_num2'"=="" & "`spec_num3'"=="1"{
local addlegend "order(1 "Specification 1" 3 "Specification 3")"
}
}
if ("`perturbationtest'"!="") | ("`multitest'"!="") | ("`tuplestest'"!="")|("`leaveoneouttest'"!="") {
local addlegend "off"
}
}
if ("`legend'"!="") {
tokenize `"`legend'"', parse("123")
if ("`4'"=="")&("`6'"=="") {
local addlegend=`"order(1"' + `"""' + `"`2'"' + `"""')"'
}
if ("`4'"!="") & ("`6'"=="") {
local addlegend=`"order(1 "`2'" 2 "`4'")"'
}
if ("`4'"!="") & ("`6'"!="") {
local addlegend=`"order(1 "`2'" 2 "`4'" 3 "`6'")"'
}
}
}
}
* Symbols of graph of different shape
if (("`symbols'"=="") & ("`symbol1'"=="") & ("`symbol2'"=="") & ("`symbol3'"=="")) local addsymbols "msize(medsmall) symbol(circle)"
if ("`symbols'"=="") & (("`symbol1'"!="") | ("`symbol2'"!="") | ("`symbol3'"!="")){
local addsymbols ""
if ("`symbol1'"=="") local addsymbol1="symbol(circle)"
if ("`symbol2'"=="") local addsymbol2="symbol(circle)"
if ("`symbol3'"=="") local addsymbol3="symbol(circle)"
if ("`symbol1'"!="") local addsymbol1="symbol(`symbol1')"
if ("`symbol2'"!="") local addsymbol2="symbol(`symbol2')"
if ("`symbol3'"!="") local addsymbol3="symbol(`symbol3')"
}
if ("`symbols'"!="") | (("`symbols'"!="") & (("`symbol1'"!="") | ("`symbol2'"!="") | ("`symbol3'"!=""))) {
local addsymbols ""
if ("`symbol1'"=="") local addsymbol1="symbol(square)"
if ("`symbol2'"=="") local addsymbol2="symbol(X)"
if ("`symbol3'"=="") local addsymbol3="symbol(circle)"
if ("`symbol1'"!="") local addsymbol1="symbol(`symbol1')"
if ("`symbol2'"!="") local addsymbol2="symbol(`symbol2')"
if ("`symbol3'"!="") local addsymbol3="symbol(`symbol3')"
}
* Size
if ("`xsize'"=="") local xsize "8"
if ("`ysize'"=="") local ysize ""
* Lines and labels
if ("`yline'"=="") & ("`fstat'"=="") local yline "0, lpattern(dash) lcolor(gray)"
if ("`yline'"=="") & ("`fstat'"!="") local yline "10, lpattern(dash) lcolor(gray)"
* Locals with the date format for the xline
local span=`win_iter_counter'
local startp6=`end'+6
local endp6=`end'+6
local startday : di %tdMonth_dd `start'
local endday : di %tdMonth_dd `end'
local startmonth : di %tdMonth_YYYY `start'
local endmonth : di %tdMonth_YYYY `end'
local startweek : di %tdMon_dd `start'
local endweek : di %tdMon_dd `end'
local startweekp6 : di %tdMon_dd `startp6'
local endweekp6: di %tdMon_dd `endp6'
local startweek="`startweek'"+"_"+"-"+"`startweekp6'"
local endweek="`endweek'"+"_"+"-"+"`endweekp6'"
if ("`xline'"=="") & ("`xline'"!="off") local addxline "xline(1 `span', lpattern(dash) lcolor(gray%60) lwidth(thin))"
if ("`xline'"!="") & ("`xline'"!="off") local addxline "xline(`xline')"
* xlabel if not specified (xlabel not specified and from user have to be in this order)
if ("`xlabel'"==""){
if ("`time'"=="") local xlabel "1 "`start'" `span' "`end'""
if ("`time'"=="year") local xlabel "1 "`start'" `span' "`end'""
if ("`time'"=="month") local xlabel "1 "`startmonth'" `span' "`endmonth'""
if ("`time'"=="week") local xlabel "1 "`startweek'" `span' "`endweek'""
if ("`time'"=="day") local xlabel "1 "`startday'" `span' "`endday'""
}
* xlabel from user
if ("`xlabel'"!="") {
local counter_xlabel=0
foreach element in `xlabel' {
local counter_xlabel=`counter_xlabel'+1
if `counter_xlabel'==1 {
local xlabel ="`element'"+"§"
}
if `counter_xlabel'>1 {
if mod(`counter_xlabel',2)==0{
local xlabel ="`xlabel'"+"`element'"+"§§"
}
if mod(`counter_xlabel',2)==1 {
local xlabel ="`xlabel'"+"`element'"+"§"
}
}
}
local xlabel=subinstr(`"`xlabel'"',"§§",`"" "',.)
local xlabel=subinstr(`"`xlabel'"',"§",`" ""',.)
}
if ("`perturbationtest'"=="") & ("`multitest'"=="") & ("`tuplestest'"=="") & ("`leaveoneouttest'"=="") {
if "`fstat'"==""{
* fix offset in case only specs 1 and 2 are run (to match the labels)
local addoffset="offset(-`offset')"
if ("`spec_num2'"=="") & ("`spec_num3'"=="") local addoffset="offset(0)"
local coefplot_string_ci="(matrix(matrix_coef_`pt_iteration'_1), `addoffset' ci(matrix_ci_`pt_iteration'_1) ciopts(color(`speccolor1'%50)) color(maroon%0))"
forvalues spec = 2/3 {
if "`spec_num`spec''"=="1"{
if "`spec'"== "2"{
if ("`spec_num2'"!="") & ("`spec_num3'"!="") local spacing=""
if ("`spec_num2'"!="") & ("`spec_num3'"=="") local spacing="offset(+`offset')"
local color="`speccolor2'%70"
}
if "`spec'"== "3"{
local color="`speccolor3'%90"
local spacing="offset(+`offset')"
}
local coefplot_string_ci="`coefplot_string_ci'"+"(matrix(matrix_coef_`pt_iteration'_`spec'), `spacing' ci(matrix_ci_`pt_iteration'_`spec') ciopts(color(`color')) color(maroon%0))"
}
}
local coefplot_string_coef="(matrix(matrix_coef_`pt_iteration'_1), `addoffset' noci color(`speccolor1'%40) `addsymbol1' mlwidth(vthin))"
forvalues spec = 2/3 {
if "`spec_num`spec''"=="1"{
if "`spec'"== "2"{
if ("`spec_num2'"!="") & ("`spec_num3'"!="") local spacing=""
if ("`spec_num2'"!="") & ("`spec_num3'"=="") local spacing="offset(+`offset')"
local color="`speccolor2'%60"
}
if "`spec'"== "3"{
local color="`speccolor3'%70"
local spacing="offset(+`offset')"
}
local coefplot_string_coef="`coefplot_string_coef'"+"(matrix(matrix_coef_`pt_iteration'_`spec'), `spacing' noci `addsymbol`spec'' color(`color') mlwidth(vthin))"
}
}
}
if "`fstat'"!=""{
* fix offset in case only specs 1 and 2 are run (to match the labels)
local addoffset="offset(-`offset')"
if ("`spec_num2'"=="") & ("`spec_num3'"=="") local addoffset="offset(0)"
local coefplot_string_coef="(matrix(matrix_coef_`pt_iteration'_1), `addoffset' noci color(`speccolor1'%40) `addsymbol1' mlwidth(vthin))"
forvalues spec = 2/3 {
if "`spec_num`spec''"=="1"{
if "`spec'"== "2"{
if ("`spec_num2'"!="") & ("`spec_num3'"!="") local spacing=""
if ("`spec_num2'"!="") & ("`spec_num3'"=="") local spacing="offset(+`offset')"
local color="`speccolor2'%60"
}
if "`spec'"== "3"{
local color="`speccolor3'%70"
local spacing="offset(+`offset')"
}
local coefplot_string_coef="`coefplot_string_coef'"+"(matrix(matrix_coef_`pt_iteration'_`spec'), `spacing' noci `addsymbol`spec'' color(`color') mlwidth(vthin))"
}
}
}
}
if ("`perturbationtest'"!="") {
local first_element `: word 1 of `vals_perturbation_test''
local coefplot_string_ci="(matrix(matrix_coef_`first_element'_1), ci(matrix_ci_`first_element'_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
local counter1=0
foreach pt_iteration in `vals_perturbation_test' {
local counter1=`counter1'+1
if `counter1'>1 {
local coefplot_string_ci="`coefplot_string_ci'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
}
}
local coefplot_string_ci2="(matrix(matrix_coef_`first_element'_1), ci(matrix_ci_`first_element'_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
local counter2=0
foreach pt_iteration in `vals_perturbation_test' {
local counter2=`counter2'+1
if `counter2'>1 {
local coefplot_string_ci2="`coefplot_string_ci2'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
}
}
local coefplot_string_coef="(matrix(matrix_coef_`first_element'_1), noci color(`testcoefcolor') mlwidth(thin))"
local counter3=0
foreach pt_iteration in `vals_perturbation_test' {
local counter3=`counter3'+1
if `counter3'>1 {
local coefplot_string_coef="`coefplot_string_coef'"+"(matrix(matrix_coef_`pt_iteration'_1), noci color(`testcoefcolor') mlwidth(thin))"
}
}
}
if ("`tuplestest'"!="") {
local coefplot_string_ci="(matrix(matrix_coef_1_1), ci(matrix_ci_1_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
forvalues pt_iteration=2/`tuplesnumber'{
local coefplot_string_ci="`coefplot_string_ci'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
}
local coefplot_string_ci2="(matrix(matrix_coef_1_1), ci(matrix_ci_1_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
forvalues pt_iteration=2/`tuplesnumber'{
local coefplot_string_ci2="`coefplot_string_ci2'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
}
local coefplot_string_coef="(matrix(matrix_coef_1_1), noci color(`testcoefcolor') mlwidth(thin))"
forvalues pt_iteration=2/`tuplesnumber'{
local coefplot_string_coef="`coefplot_string_coef'"+"(matrix(matrix_coef_`pt_iteration'_1), noci color(`testcoefcolor') mlwidth(thin))"
}
}
if ("`leaveoneouttest'"!="") {
local coefplot_string_ci="(matrix(matrix_coef_1_1), ci(matrix_ci_1_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
forvalues pt_iteration=2/`leaveoneoutvarnumber'{
local coefplot_string_ci="`coefplot_string_ci'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
}
local coefplot_string_ci2="(matrix(matrix_coef_1_1), ci(matrix_ci_1_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
forvalues pt_iteration=2/`leaveoneoutvarnumber'{
local coefplot_string_ci2="`coefplot_string_ci2'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
}
local coefplot_string_coef="(matrix(matrix_coef_1_1), noci color(`testcoefcolor') mlwidth(thin))"
forvalues pt_iteration=2/`leaveoneoutvarnumber'{
local coefplot_string_coef="`coefplot_string_coef'"+"(matrix(matrix_coef_`pt_iteration'_1), noci color(`testcoefcolor') mlwidth(thin))"
}
}
if ("`multitest'"!="") {
local first_element `: word 1 of `multitest''
local coefplot_string_ci="(matrix(matrix_coef_`first_element'_1), ci(matrix_ci_`first_element'_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
local counter1=0
foreach pt_iteration in `multitest' {
local counter1=`counter1'+1
if `counter1'>1 {
local coefplot_string_ci="`coefplot_string_ci'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rarea) ciopts(color(`testcicolor'%7)) color(maroon%0))"
}
}
local coefplot_string_ci2="(matrix(matrix_coef_`first_element'_1), ci(matrix_ci_`first_element'_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
local counter2=0
foreach pt_iteration in `multitest' {
local counter2=`counter2'+1
if `counter2'>1 {
local coefplot_string_ci2="`coefplot_string_ci2'"+"(matrix(matrix_coef_`pt_iteration'_1), ci(matrix_ci_`pt_iteration'_1) cirecast(rline) ciopts(color(`testcicolor') lwidth(vthin)) color(navy%0))"
}
}
local coefplot_string_coef="(matrix(matrix_coef_`first_element'_1), noci color(`testcoefcolor') mlwidth(thin))"
local counter3=0
foreach pt_iteration in `multitest' {
local counter3=`counter3'+1
if `counter3'>1 {
local coefplot_string_coef="`coefplot_string_coef'"+"(matrix(matrix_coef_`pt_iteration'_1), noci color(`testcoefcolor') mlwidth(thin))"
}
}
}
coefplot `coefplot_string_ci' `coefplot_string_ci2' `coefplot_string_coef' , nooffsets graphregion(margin(3 8 3 3)) graphregion(fcolor(white)) vertical yline(`yline') `addxline' ysize(`ysize') xsize(`xsize') ytitle(`ytitle') xtitle(`xtitle') ylabel(`ylabel') xlabel(`xlabel') legend(`addlegend') `addsymbols'
end