/*
predict for xtdcce2
Requires xtdcce2 version 1.3
Changelog
16.10.2017 - fixed bug in stdp
08.11.2017 - added replace (option for Achim Ahrens)
- fixed bug in option xb
August 2018- added ardl and long run function
- added * to drop to all to overwrite cofficients etc.
Oct 2018 - changed xtdcce2133 to xtdcce2 in line 37
13.02.2019 - fixed bug if option xtpmgnames used and partilling out
22.07.2019 - added e(sample) again
20.08.2019 - fix that fullnames for calculation of csa recognized
20.11.2019 - fix in varlist lhsrhs when xtdcce2fast is used; added tsrevar to make sure variables in lhsrhs are varlist which is understood by st_tsrevar [tsrevar cannot cope with * or - in varlist]
10.01.2020 - when partial used, restricted to e(esample). Thanks to Gergio Tullio for the pointer.
- if ("`cr_vars'" != "" & ("`xb'" == "" | "`xb2'" == "") ) was missing xb2. Thanks to Gergio Tullio for the pointer.
02.03.2020 - when xtpmg names used, error occured with PutCoeff mata program
04.03.2020 - fixed error when rec used. Thanks to Gergio Tullio for the pointer.
22.01.2021 - fixed error when fullsample and if used; Thanks to Gergio Tullio for the pointer.
26.05.2022 - added option cov, only for xtdcce2fast
26.01.2024 - support for absorb()
*/
*capture program drop xtdcce2_p
program define xtdcce2_p
syntax anything [in] [if] [, replace * ]
*local options `*'
if "`replace'" != "" {
local predvar = word("`anything'",`=wordcount("`anything'")')
capture drop `predvar'*
if _rc == 0 {
display "Variable `predvar' replaced"
}
}
xtdcce2_p_int `anything' `if' `in', `options'
end
** auxiliary file with auxiliary programs
findfile "xtdcce2_auxiliary.ado"
include "`r(fn)'"
capture program drop xtdcce2_p_int
program define xtdcce2_p_int
syntax newvarname(max=1 generate) [in] [if] , [Residuals xb COEFFicients stdp se partial CFResiduals xb2 wildbootstrap cov(string) ]
* marksample for in if of predict command; does not take e(sample) into account,
* add additional variable smpl. will be used for calculation of cross-sectional averages and partialling out
marksample touse, novarlist
tempvar smpl
gen byte `smpl' = 1
if "`e(cmd)'" == "xtdcce2fast" {
local cnt = wordcount("`residuals' `xb' `xb2' `coefficients' `stdp' `se' `partial' `cfresiduals'")
if `cnt' > 1 {
display "{err}only one statistic may be specified"
exit 498
}
else if `cnt' == 0 & "`cov'" == "" {
local xb xb
disp "Option xb assumed."
}
if wordcount("`stdp' `partial'")> 0 {
display "Option `stdp'`se'`partial' not supported."
exit 498
}
if "`residuals'" != "" local type = 0
if "`cfresiduals'" != "" local type = -1
if "`xb'" != "" local type = -1
if "`coefficients'" != "" local type = 1
if "`se'" != "" local type = 2
if "`xb2'" != "" local type = -1
if "`cov'" != "" local type = -2
qui{
if (("`e(postresults)'" == "mata" | "`e(postresults)'" == "frame") & "`wildbootstrap'" == "" & `type' != -1) {
drop `varlist'
local newvar `varlist'
if (`type' >0) {
local vars = subinstr("`e(p_mg_vars)'","_cons","",.)
local hasc = 0
if regexm("`e(p_mg_vars)'","_cons") == 1 local hasc = 1
tsunab vars: `vars'
if `hasc' == 1 local vars `vars' _cons
*** extend varlist to all variables
mata st_local("newvar",invtokens(strtoname("`newvar'_":+tokens("`vars'"))))
}
qui xtset
local idvar "`r(panelvar)'"
local tvar "`r(timevar)'"
if "`e(postresults)'" == "frame" & `type' == 0 {
tempname frlink
frlink 1:1 `id' `tvar' , from(xtdcce2fast) gen(`frlink')
frget `newvar' = residuals , from(`frlink')
}
else if "`e(postresults)'" == "mata" {
if `type' == 0 {
putmata xtdcce2fast_pn = (`idvar' `tvar' `tousecr' `touse'), replace
noi mata xtdcce2_mata2stata("`newvar'",xtdcce2fast_p[.,(5)],"`idvar' `tvar'",xtdcce2fast_pn[.,(1,2)],"`touse'",`type')
}
else if `type' == 2 {
noi mata xtdcce2_mata2stata("`newvar'",xtdcce2fast_Vi[.,2..cols(xtdcce2fast_Vi)],"`idvar' `tvar'",xtdcce2fast_Vi[.,1],"`touse'",2)
}
else if `type' == -2 {
local v1 = word("`cov'",1)
local v2 = word("`cov'",2)
local tmp `e(indepvar)'
local v1: list posof "`v1'" in tmp
local v2: list posof "`v2'" in tmp
noi mata xtdcce2_mata2stata("`newvar'",xtdcce2fast_Vi[.,2..cols(xtdcce2fast_Vi)],"`idvar' `tvar'",xtdcce2fast_Vi[.,1],"`touse'",3,(`v1',`v2'))
}
else {
noi mata xtdcce2_mata2stata("`newvar'",xtdcce2fast_bi,"`idvar' `tvar'",xtdcce2fast_order,"`touse'",`type')
}
}
}
else {
if "`coeff'" != "" {
noi disp "Option coeff requires results stored in mata."
exit 199
}
local newvar `varlist'
local lr "`e(lr)'"
*** parse cmd line
tokenize `"`e(cmdline)'"', p(",")
local lhsrhs `1'
gettoken cmd lhsrhs: lhsrhs
** remove anything after if
local rest "`lhsrhs'"
local lhsrhs ""
while "`rest'" != "" {
gettoken rhsi rest: rest
if "`rhsi'" != "if" {
local lhsrhs `lhsrhs' `rhsi'
}
else {
local rest ""
}
}
tsrevar `lhsrhs'
local lhsrhs "`r(varlist)'"
qui xtset
local idvar "`r(panelvar)'"
local tvar "`r(timevar)'"
markout `touse' `lhsrhs' `lr'
markout `smpl' `lhsrhs' `lr'
if "`e(p_if)'" != "" {
replace `smpl' = `smpl' * (`e(p_if)')
}
if "`e(p_in)'" != "" {
replace `smpl' = `smpl' * (`e(p_in)')
}
tempname smplcr
gen `smplcr' = 1
tokenize `"`e(cmdline)'"', p(",")
if regexm("`3'","fullsample") == 1 {
if "`e(p_if)'" != "" {
*** use here only if condition!
replace `smplcr' = (`e(p_if)')
}
else {
*replace `smplcr' = `smpl'
}
}
if regexm("`3'","noconst*") == 0 {
tempname constant
gen double `constant' = 1
}
if regexm("`3'","pooledc*") == 1 {
noi disp "Cannot use predict with pooledconstant."
exit 199
}
if "`e(csa)'" != "" {
tempname csa
xtdcce2_csa `e(csa)' , idvar(`idvar') tvar(`tvar') cr_lags(`e(cr_lags)') touse(`smplcr') csa(`csa') `e(rcce_options)'
local csa `r(varlist)'
}
if "`e(gcsa)'" != "" {
tempname gcsa
tempname touseglobal
gen `touseglobal' = 1
xtdcce2_csa `e(gcsa)' , idvar(`idvar') tvar(`tvar') cr_lags(`e(gcr_lags)') touse(`touseglobal') csa(`gcsa')
local gcsa `r(varlist)'
drop `touseglobal'
}
if "`e(ccsa)'" != "" {
tempname ccsa
xtdcce2_csa `e(ccsa)' , idvar(`idvar') tvar(`tvar') cr_lags(`e(ccr_lags)') touse(`smplcr') csa(`ccsa') cluster(`e(ccsa_cluster)')
local ccsa `r(varlist)'
}
local clistfull `csa' `gcsa' `ccsa'
if "`cfresiduals'" != "" {
local clistfull ""
local lhsrhs `lhsrhs' `constant'
}
else if "`xb'" != "" {
local lhsrhs `lhsrhs' `constant'
}
else if "`xb2'" != "" {
local xb xb
local clistfull ""
local lhsrhs `lhsrhs' `constant'
}
else {
local clistfull `clistfull' `constant'
}
markout `touse' `lhsrhs' `lr' `clistfull'
replace `touse' = `touse' * e(sample) * `smpl'
*noi disp "touse partia"
*noi tab `touse'
noi mata xtdcce2_error_calc("`lhsrhs' `lr' ","`clistfull'","`touse'","`idvar'","`newvar'",xtdcce2fast_bi,"`wildbootstrap'", "`xb'"!="")
}
}
}
else {
if "`e(cmd)'" != "xtdcce2" {
display as error "Only after xtdcce2, last command is `e(cmd)'"
exit
}
local nopts : word count `residuals' `xb' `xb2' `coefficients' `stdp' `se' `partial' `cfresiduals'
if `nopts' >1 {
display "{err}only one statistic may be specified"
exit 498
}
else if `nopts' == 0 {
display in gr "(option xb assumed; fitted values; common factors partialled out)"
local xb "xb"
}
if "`xb2'" == "xb2" {
display in gr "(option xb2 assumed; fitted values; common factors included)"
}
**For residuals including common factors, first predict xb, then subtract them from Y
if "`cfresiduals'" != "" {
local xb2 "xb2"
}
** Which inverter
local useqr = e(useqr)
qui{
tsset
local newvar `varlist'
tempvar tvar idvar
if "`e(p_if)'" != "" {
*local p_if "& `e(p_if)'"
replace `smpl' = `smpl' * (`e(p_if)')
}
if "`e(p_in)'" != "" {
*local p_in "in `e(p_in)'"
replace `smpl' = `smpl' * (`e(p_in)')
}
tsset
local d_idvar `r(panelvar)'
local d_tvar `r(timevar)'
sort `d_idvar' `d_tvar'
egen `idvar' = group(`d_idvar')
egen `tvar' = group(`d_tvar')
tsset `idvar' `tvar'
local lhs `e(depvar)'
local mg_vars `e(p_mg_vars)'
local mg_vars : list uniq mg_vars
local pooled_vars `e(p_pooled_vars)'
local cr_vars `e(p_cr_vars)'
*local cr_options "`e(cr_options)'"
local lr_vars "`e(lr)'"
local mg_vars: list mg_vars - pooled_vars
** check if constant in lr_vars
local cons_lr = strmatch("`lr_vars'","*_cons*")
** Remove constant from varlists
if strmatch("`pooled_vars' `mg_vars' `cr_vars' `lr_vars'","*_cons*") == 1 {
*tempvar trend
*gen double `trend' = `tvar'
local pooled_vars = subinword("`pooled_vars'","_cons","",.)
local mg_vars = subinword("`mg_vars'","_cons","",.)
local cr_vars = subinword("`cr_vars'","_cons","",.)
local lr_vars = subinword("`lr_vars'","_cons","",.)
}
** if xtpmgnames used, rename ec into first of LR. Check all varlists and change names in ebi and evi
tempname ebi evi
matrix `ebi' = e(bi)
matrix `evi' = e(Vi)
local xtpmgnames = 0
local lr_options "`e(lr_options)'"
if strmatch("`lr_options'","*xtpmgnames*") == 1 {
local xtpmgnames = 1
local lr1 "`e(p_lr_1)'"
local pooled_vars = subinword("`pooled_vars'","ec","`lr1'",.)
local mg_vars = subinword("`mg_vars'","ec","`lr1'",.)
local cr_vars = subinword("`cr_vars'","ec","`lr1'",.)
local lr_vars = subinword("`lr_vars'","ec","`lr1'",.)
local coln : colnames `ebi'
local coln = subinword("`coln'","ec","`lr1'",.)
matrix colnames `ebi' = `coln'
local coln : colnames `evi'
local coln = subinword("`coln'","ec","`lr1'",.)
matrix colnames `evi' = `coln'
matrix rownames `evi' = `coln'
}
local o_lhs `lhs'
local o_mg_vars `mg_vars'
local o_pooled_vars `pooled_vars'
local o_lr_vars "`lr_vars'"
** trend
if strmatch("`pooled_vars' `mg_vars' `cr_vars' `lr_vars'","*trend*") == 1 {
tempvar trend
gen double `trend' = `tvar'
local pooled_vars = subinword("`pooled_vars'","trend","`trend'",.)
local mg_vars = subinword("`mg_vars'","trend","`trend'",.)
local cr_vars = subinword("`cr_vars'","trend","`trend'",.)
local lr_vars = subinword("`lr_vars'","trend","`trend'",.)
}
local cr_lags = e(cr_lags)
local constant_type = `e(constant_type)'
**add long coefficientss if ardl or ecm (then ec term) to mg or pooled
** if pooled, then variable will be in pooled
** if MG, then variable will not be in MG
** for ecm: add only ec term
** for ardl: add short run coeff of lr vars (not included in mg_vars)
if "`lr_vars'" != "" {
*local first "`e(p_lr_1)'"
local mg_lr1_vars "`lr_vars'"
local mg_lr1_vars : list mg_lr1_vars - pooled_vars
*gettoken first rest: mg_lr1_vars
local o_mg_vars "`o_mg_vars' `mg_lr1_vars'"
local mg_vars "`mg_vars' `mg_lr1_vars'"
mata st_local("lr_label",invtokens(strtoname(tokens("`lr_vars'"))))
if strmatch("`lr_options'","*ardl*") == 1 {
tsrevar `lr_vars' , list
local ardl_lr "`r(varlist)'"
tsrevar `pooled' , list
local ardl_pooled "`r(varlist)'"
*local ardl_mg : list ardl_lr - ardl_pooled
*local ardl_pooled : list ardl_lr & ardl_pooled
local ardl_pooled "`e(lr_pooled)'"
local ardl_mg "`e(lr_mg)'"
*mata st_local("ardl_mg",invtokens("lr_":+strtoname(tokens("`ardl_mg'"))))
*mata st_local("ardl_pooled",invtokens("lr_":+strtoname(tokens("`ardl_pooled'"))))
local lr_label "`ardl_mg' `ardl_pooled'"
}
}
*** Markout here will all variables
gen `smpl'2 = `smpl'
markout `smpl' `lhs' `mg_vars' `pooled_vars' `cr_vars' `lr_vars'
replace `smpl' = `smpl'* `smpl'2
**here add lr_vars
local unique_vars `pooled_vars' `mg_vars' `cr_vars' `lhs' `lr_vars'
local unique_vars : list uniq unique_vars
***check for ts vars. tsrevar creates tempvars, then loop over remaining vars to create tempvars
fvrevar `unique_vars'
local no_temp_vars `r(varlist)'
local temp_vars : list unique_vars - no_temp_vars
local no_temp_vars : list unique_vars & no_temp_vars
*loop over ts vars and create temp var
* as over variables, subinword can be used
foreach var in `temp_vars' {
fvrevar `var'
foreach liste in pooled_vars mg_vars cr_vars lhs lr_vars {
local `liste' = subinword("``liste''","`var'","`r(varlist)'",.)
}
}
*loop over non ts vars and create tempvar
foreach var in `no_temp_vars' {
tempvar `var'
gen double ``var'' = `var' /*if `touse'*/
foreach liste in pooled_vars mg_vars cr_vars lhs {
local `liste' = subinword("``liste''","`var'","``var''",.)
}
}
if "`e(bias_correction)'" == "recursive mean correction" {
tempvar s_mean
gen double `s_mean' = 0
local r_varlist `lhs' `mg_vars' `cr_vars' `pooled_vars'
local r_varlist: list uniq r_varlist
foreach var in `r_varlist' {
*by `idvar' (`tvar'), sort: replace `s_mean' = sum(L.`var'[_n-1]) / (`tvar'-1) if `smpl' & L.`var' != . /*was touse*/
*replace `s_mean' = 0 if `s_mean' == .
*replace `var' = `var' - `s_mean'
by `idvar' (`tvar'), sort: replace `s_mean' = sum(L.`var') / (_n-1) if `smpl' & L.`var' != .
replace `var' = `var' - `s_mean'
replace `s_mean' = .
}
replace `s_mean' = 0
sort `idvar' `tvar'
** adjust sample
markout `smpl' `lhs' `mg_vars' `cr_vars' `pooled_vars'
}
sum `idvar' if `smpl' /* `touse'*/ , meanonly
local N_g = r(max)
*get country list
forvalues i = 1(1)`N_g' {
local ctry_list `ctry_list' `i'
}
**Constant types. If 0, 2, do nothing
** if lists change, make sure to change o_ varlists to make sure order is correct.
*if 1, then add to cr_list, but at a later stage. now only creation of constant
/*
0 no constant
1 heterogenous & partialled out
2 homogenous (pooled) & removed (set to zero) as it is zero (only in case of balanced panel)
3 heterogenous & displayed
4 homogenous & not displayed (calculated but supressed)
5 homogenous & displayed
*/
if `constant_type' == 1 {
tempvar constant
gen double `constant' = 1
*local cr_vars "`cr_vars' `constant'"
}
*if 3 then add to mg_vars
else if `constant_type' == 3 {
tempvar constant
gen double `constant' = 1
local mg_vars "`mg_vars' `constant'"
local o_mg_vars = subinword("`o_mg_vars'","_cons","",.)
local o_mg_vars "`o_mg_vars' _cons"
}
** homogenous, 4 and 5
else if `constant_type' == 5 | `constant_type' == 4 {
tempvar constant
gen double `constant' = 1
local pooled_vars "`pooled_vars' `constant'"
local o_pooled_vars = subinword("`o_pooled_vars'","_cons","",.)
local o_pooled_vars "`o_pooled_vars' _cons"
*local pooled_vars = subinword("`pooled_vars'","_cons","",.)
}
if `cons_lr' == 1 {
local lr_vars "`lr_vars' `constant'"
local o_lr_vars "`o_lr_vars' _cons"
}
** if IV, then partial out instruments
if "`e(insts)'" != "" {
foreach var in `e(insts)' {
local varn = strtoname("`var'")
tempvar `varn'
gen double ``varn'' = `var' /*if `touse'*/
local exo_cr "`exo_cr' ``varn'' 0"
}
}
*create CR Lags
if ("`cr_vars'" != "" & ("`xb'" == "" | "`xb2'" == "") ) | `constant_type' == 1 | "`e(insts)'" != "" {
*** Remove removed units
if "`e(UnitsRemoved)'" != "" {
foreach unit in `e(UnitsRemoved)' {
replace `smpl' = 0 if `idvar' == `unit'
}
}
tempvar smplcr
*replace `smpl' = e(sample)
tokenize "`e(cmdline)'", p(",")
if regexm("`3'","fullsample") == 1 {
if "`e(p_if)'" != "" & "`e(p_in)'" == "" {
*** use here only if condition!
gen `smplcr' = (`e(p_if)')
}
else if "`e(p_if)'" == "" & "`e(p_in)'" != "" {
gen `smplcr' = `smpl' in `e(p_in)'
}
else if "`e(p_if)'" == "" & "`e(p_in)'" != "" {
gen `smplcr' = (`e(p_if)') in `e(p_in)'
}
else {
gen `smplcr' = 1
}
}
else {
gen `smplcr' = `smpl'
}
if "`e(csa)'" != "" {
tempname csa
xtdcce2_csa `e(csa)' , idvar(`idvar') tvar(`tvar') cr_lags(`e(cr_lags)') touse(`smplcr') csa(`csa') tousets(`smpl') `e(rcce_options)'
local csa `r(varlist)'
}
if "`e(gcsa)'" != "" {
tempname gcsa
tempname touseglobal
gen `touseglobal' = 1
xtdcce2_csa `e(gcsa)' , idvar(`idvar') tvar(`tvar') cr_lags(`e(gcr_lags)') touse(`touseglobal') csa(`gcsa')
local gcsa `r(varlist)'
drop `touseglobal'
}
if "`e(ccsa)'" != "" {
tempname ccsa
xtdcce2_csa `e(ccsa)' , idvar(`idvar') tvar(`tvar') cr_lags(`e(ccr_lags)') touse(`smplcr') csa(`ccsa') cluster(`e(ccsa_cluster)')
local ccsa `r(varlist)'
}
drop `smplcr'
local clist1 `csa' `gcsa' `ccsa'
if `constant_type' == 1 {
local clist1 "`clist1' `constant'"
}
markout `smpl' `lhs' `pooled_vars' `mg_vars' `clist1'
tempname mrk
if "`e(absorb)'" != "" {
local absorb "`e(absorb)'"
local indepdepvars `lhs' `mg_vars' `pooled_vars' /*`crosssectional'*/ `clist1'
local indepdepvars : list uniq indepdepvars
///local noconstant noconstant]
gettoken 1 2: absorb, parse(",")
gettoken 3 4: 2
`tracenoi' xtdcce2_absorb_prog `1' , `4' touse(`smpl') vars(`indepdepvars')
drop `r(absorb_vars)'
///local indepdepvars `r(absorb_vars)'
///local spatial =word("`indepdepvars'",1)
*** adjust touse
*markout `lhs' `rhs' `pooled' `clist1' `endogenous_vars' `exogenous_vars' `endo_pooled' `exo_pooled'
}
issorted `idvar' `tvar'
mata xtdcce_m_partialout2("`lhs' `pooled_vars' `mg_vars'","`clist1'","`smpl'","`idvar'",`useqr',`mrk'=.)
}
*Markout again to drop missings from partialout. put e(sample) in place (not needed for mean group)
markout `touse' `lhs' `pooled_vars' `mg_vars'
replace `touse' = `touse' * e(sample)
**calculate coefficients
tempname coeff xbc
matrix `coeff' = `ebi'
*** correct if ec is used
if strmatch("`lr_options'","*xtpmgnames*") == 1 {
local coln : colnames `coeff'
local coln = subinstr("`coln'","ec","`lr1'",.)
matrix colnames `coeff' = `coln'
}
if "`se'" == "se" {
matrix `coeff' = `evi'
mata st_matrix("`coeff'",sqrt(diagonal(st_matrix("`coeff'")))')
local coln : colnames `evi'
matrix colnames `coeff' = `coln'
}
gen double `xbc' = 0 if `touse'
local i = 1
local lr_vars_adj "`lr_vars'"
foreach var in `pooled_vars' `ardl_pooled' {
tempvar c_`var'
local o_var = word("`o_pooled_vars' `ardl_pooled'",`i')
gen double `c_`var'' = `coeff'[1,colnumb(`coeff',"`o_var'")]
local lr_vars_adj = subinword("`lr_vars_adj'","`o_var'","`var'",.)
local i = `i' + 1
}
local i = 1
foreach var in `mg_vars' `ardl_mg' {
tempvar c_`var'
gen double `c_`var'' = .
local o_var = word("`o_mg_vars' `ardl_mg'",`i')
local lr_vars_adj = subinword("`lr_vars_adj'","`o_var'","`var'",.)
local cc_vars `cc_vars' `c_`var''
*local cc_o_vars `cc_o_vars'
*noi disp "mg vars `var' ``var'': `mg_vars'"
*foreach ctry in `ctry_list' {
* ** CORECT THIS!
* replace `c_`var'' = `coeff'[1,colnumb(`coeff',"`o_var'_`ctry'")] if `idvar' == `ctry' & `touse'
*}
local i = `i' + 1
}
if "`cc_vars'" != "" {
*noi matrix list `coeff'
mata xtdcce2_m_PutCoeff("`cc_vars'","`coeff'","`idvar'","`touse'","`o_mg_vars' `ardl_mg'")
}
*** LR part
*** for ECM: correct coefficients back to original one, only if option xb or residuals. Do nothing for ARDL
if "`lr_vars'" != "" {
if strmatch("`lr_options'","*ardl*") == 0 {
if strmatch("`lr_options'","*nodivide*") == 0 & "`residuals'`xb'" != "" {
gettoken first rest : lr_vars_adj
foreach var in `rest' {
replace `c_`var'' = -`c_`var'' * `c_`first'' if `touse'
}
}
}
}
if "`xb2'" == "" {
foreach var in `mg_vars' `pooled_vars' {
replace `xbc' = `xbc' + `c_`var'' * `var' if `touse'
}
}
else {
local j = 1
foreach var in `o_mg_vars' `o_pooled_vars' {
local ji = word("`mg_vars' `pooled_vars'",`j')
replace `xbc' = `xbc' + `c_`ji'' * `var' if `touse'
local j = `j' + 1
}
}
if "`xb'" == "xb" | "`xb2'" == "xb2" {
replace `newvar' = `xbc' if `touse'
label var `newvar' "xb"
if `constant_type' == 1 | `constant_type' == 4 {
noi disp "Constant partialled out and not part of `newvar'."
}
}
if "`stdp'" == "stdp" {
replace `newvar' = `xbc' if `touse'
label var `newvar' "stdp"
}
if "`residuals'" == "residuals" {
replace `newvar' = `lhs' - `xbc' if `touse'
label var `newvar' "Residuals"
if "`wildbootstrap'" != "" {
sort `idvar' `tvar'
mata xtdcce2_wbsadj("`newvar'"," `mg_vars' `pooled_vars'","`idvar' `tvar'","`touse'")
}
}
if "`coefficients'" == "coefficients" | "`se'" == "se" {
drop `newvar'
if "`coefficients'" == "coefficients" {
local coeffse "Coeff"
}
else {
local coeffse "SE"
}
local i = 1
foreach var in `pooled_vars' `ardl_pooled' {
local lrsr ""
local o_var = word("`o_pooled_vars' `ardl_pooled'",`i')
local o_var = strtoname("`o_var'")
gen double `newvar'_`o_var' = `c_`var'' if `touse'
if "`lr_vars'" != "" {
local lrsr " (Short Run)"
if strmatch("`lr_label'","*`o_var'*") == 1 {
local lrsr " (Long Run)"
}
}
label var `newvar'_`o_var' "Est. `coeffse' for `o_var'`lrsr'"
local i = `i' + 1
}
local i = 1
foreach var in `mg_vars' `ardl_mg' {
local lrsr ""
local o_var = word("`o_mg_vars' `ardl_mg' ",`i')
local o_var = strtoname("`o_var'")
*** Improve speed here!
gen double `newvar'_`o_var' = `c_`var'' if `touse'
if "`lr_vars'" != "" {
local lrsr " (Short Run)"
if strmatch("`lr_label'","*`o_var'*") == 1 {
local lrsr " (Long Run)"
}
}
label var `newvar'_`o_var' "Est. `coeffse' for `o_var'`lrsr'"
local i = `i' + 1
}
foreach var in `ardl_lrlist_tmp' {
gen double `newvar'_`o_var' = `c_`var'' if `touse'
}
}
if "`stdp'" == "stdp" {
local v_order: colnames `evi'
foreach var in `o_mg_vars' {
foreach i in `ctry_list' {
local o_mg_vars_id `o_mg_vars_id' `var'_`i'
}
}
local o_full_id `o_mg_vars_id' `o_pooled_vars'
tempvar idt
gen `idt' = _n
preserve
foreach var in `mg_vars' {
qui separate `var' if `touse' , by(`idvar')
local mg_vars_id `mg_vars_id' `r(varlist)'
recode `r(varlist)' (missing = 0) if `touse'
}
foreach var in `v_order' {
local pos : list posof `"`var'"' in o_full_id
local tmp = word("`mg_vars_id' `pooled_vars'",`pos')
local v_order_n `v_order_n' `tmp'
}
tempname m_V m_x m_h
putmata `m_x' = (`v_order_n') `idt' if `touse' , replace
mata `m_V' = st_matrix("`evi'")
mata `newvar' = `m_x'*`m_V'*`m_x''
mata `newvar' = sqrt(diagonal(`newvar'))
restore
drop `newvar'
getmata `newvar' , id(`idt'=`idt')
mata mata drop `m_V' `m_x' `newvar' `idt'
}
if "`partial'" == "partial" {
drop `newvar'
local o_list `o_lhs' `o_pooled_vars' `o_mg_vars'
local i = 1
foreach var in `lhs' `pooled_vars' `mg_vars' {
*Get current temp varname
local tmp = word("`o_list'",`i')
local tmp = subinstr("`tmp'",".","_",.)
gen double `newvar'_`tmp' = `var' if `touse'
label var `newvar'_`tmp' "`tmp' partialled out"
local i = `i' + 1
}
}
if "`cfresiduals'" != "" {
replace `newvar' = `o_lhs' - `newvar' if `touse'
label var `newvar' "Residuals + cf"
}
if `xtpmgnames' == 1 {
capture rename `newvar'_`=strtoname("`lr1'")' `newvar'_ec
}
if "`oos'" != "" {
/* for coeff/se/stdp just copy vars by id
for xb/xb2/res do xb/xb2 and partial out (csa) over entire sample, then calculate xb/xb2/res
*/
}
tsset `d_idvar' `d_tvar'
}
}
end