hi it keep showing this error, can you please tell me how to correct it
/********************************************* load the data ***********************************************/
LOAD data[51,3]=gauss.txt;
r = data[.,1];
dg = data[.,2];
dp = data[.,3];
dv=r~dg~dp
/******************************* parameters ********************************************/
q_nw = 2;
/******************************************************************************************************************************************/
PROC(10)=VAR_REST(YY,XX,Q_NW); /* Restricted VAR */
LOCAL T,N,X,K,Y,Z,W_I,D,B,EHAT,EPSLON,AUX1,AUX2,R2,AR2,G,S_W,S_NW,J,GAMMA_J,AVCOVB_NW,SEB_NW,TSTATB_NW,PVALUES_NW,
BETA,T_BETA,P_BETA,VCOV_EHAT;
/* Definition of variables */
YY=LAGN(YY,-1);
YY=TRIMR(YY,0,1);
XX=TRIMR(XX,0,1);
T=ROWS(YY);/* number of observations*/
X=ONES(T,1)~XX; /* Number of forecasting variables (including a constant) */
K=COLS(X);
N=COLS(YY); /* N is the number of variables in the VAR */
/* Calculations */
Y=RESHAPE(YY',1,N*T)';
Z=EYE(N).*.X; /* data matrix of the regressors (NTxNK) */
W_I=EYE(N*K); /* weighting matrix for first stage GMM (NKxNK) */
D=(1/T).*(EYE(N).*.X'X); /* D matrix; equal to dgT(b)/db (NKxNK) */
B=(EYE(N).*.(INVPD(X'X)*X'))*Y; /* Simplified formula (applied to this case) for GMM estimator (NKx1) */
EHAT=Y-Z*B; /* stacked vector with residuals (NTx1) */
EPSLON=RESHAPE(EHAT,N,T); /* Auxiliar matrix. Transforms the vector of residuals into a matrix,
where each column corresponds to the t th observation, t =1,...,T (NxT) */
VCOV_EHAT=VCXS(EPSLON');
AUX1=(EPSLON'-MEANC(EPSLON')')'(EPSLON'-MEANC(EPSLON')');
AUX2=(YY-MEANC(YY)')'(YY-MEANC(YY)');
R2=1-DIAG(AUX1)./DIAG(AUX2);
AR2=ONES(N,1)-(ONES(N,1)-R2).*((T-1)/(T-K));
G=(EPSLON')*~X;
S_W=(1/T).*G'G;
/******************************************************************************************
Newey-West standard errors
******************************************************************************************/
S_NW=ZEROS(N*K,N*K);
J=1;
DO WHILE J<=Q_NW-1;
GAMMA_J=(1/T).*G[1:T-J,.]'G[1+J:T,.]+(1/T).*G[1+J:T,.]'G[1:T-J,.];
S_NW=S_NW+(1-J/Q_NW).*GAMMA_J;
J=J+1;
ENDO;
S_NW=S_W+S_NW;
AVCOVB_NW=(1/T).*(INVPD(D)*S_NW*INVPD(D));
SEB_NW=SQRT(DIAG(AVCOVB_NW));
TSTATB_NW=B./SEB_NW;
PVALUES_NW=2*CDFNC(ABS(TSTATB_NW));
BETA=RESHAPE(B,N,K);
T_BETA=RESHAPE(TSTATB_NW,N,K);
P_BETA=RESHAPE(PVALUES_NW,N,K);
RETP(T,N,R2,AR2,B,BETA,T_BETA,P_BETA,AVCOVB_NW,VCOV_EHAT);
ENDP;
{T,N,R2,AR2,B,BETA,T_BETA,P_BETA,AVCOVB_NW,VCOV_EHAT}=VAR_REST(dv,dp,q_nw);
11 Answers
0
0
line 77, in black
proc lagn(x,n);
local y;
y = shiftr(x', n, (miss(0, 0))');
retp(y');
endp;
0
I'm using a light version, i don't know if the error message telling the same thing as in full version
0
What are the dimensions of YY at the beginning of VAR_REST? If VAR_REST is called multiple times and the error is not on the first one, it might be simplest to add a print statement right before the call to lagn. Something like:
print "at the start of VAR_REST, YY is: " rows(YY) " by " cols(YY);
0
at the start of VAR_REST, YY is 51 by 3
0
I don't think that is what is causing the error. Is VAR_REST being called more than once? If you are using GAUSS 14 and you have an error in a procedure like lagn you should a nicely laid out stack trace that will tell you the line and file from which lagn was called that caused the error.
Since you have GAUSS Light which does not have the debugger, I would put print statements before and after the call to lagn at the start of the VAR_REST function. For example, I would change this part of the code:
/* Definition of variables */ YY=LAGN(YY,-1); YY=TRIMR(YY,0,1); XX=TRIMR(XX,0,1);
to:
/* Definition of variables */ print "rows(YY) = " rows(YY) "cols(YY) = " cols(YY); YY=LAGN(YY,-1); print "back from LAGN call"; YY=TRIMR(YY,0,1); XX=TRIMR(XX,0,1);
Then if you don't see "back from LAGN call", you can be more certain that the error did occur there. You will also see what the size of YY was right before the error.
0
********************** START **********************
rows(YY) = 51.000000 cols(YY) = 3.0000000
back from LAGN call
Does that mean my error occurs from the very beginning of the lagn call, and VAR_REST has being called once only. there is a separate sheet (lag.src) showed some examples, and marked the retp(y')
**> lagn
**
** Purpose: Lags a matrix a specified number of time periods for
** time series analysis.
**
** Format: y = lagn(x,t);
**
** Input: x NxK matrix.
**
** t scalar, number of time periods.
**
** Output: y NxK matrix, x lagged t periods.
**
** Remarks: If t is positive, lagn lags x back by t time periods, so
** the first t observations of y are missing.
** If t is negative, lagn lags x forward by t time periods, so
** the last t observations of y are missing.
**
** See Also: lag1
*/
proc lagn(x,n);
local y;
y = shiftr(x', n, (miss(0, 0))');
retp(y');
endp;
0
It means that the VAR_REST procedure is not being called more than once before the error. It also means that the error is not related to lagn. To narrow it down. I would add a couple of print statements to the VAR_REST procedure, something like:
print "passed line <enter line number here>
0
When I run that code in GAUSS, I get the following error message:
GAUSS error report
Looking at the line of code that is causing the error, it appears to me that there is a bug in this program. The kronecker product has the same operator precedence as matrix multiplication, so that is evaluated first. However, I believe they want (X'X) evaluated first. Place parentheses around X'X on that line like this:
D=(1/T).*(EYE(N).*.(X'X));
and the code will run.
0
oh i didn't noticed this mistake at all..
it is running now, thanks so much!!
Your Answer
11 Answers
line 77, in black
proc lagn(x,n);
local y;
y = shiftr(x', n, (miss(0, 0))');
retp(y');
endp;
I'm using a light version, i don't know if the error message telling the same thing as in full version
What are the dimensions of YY at the beginning of VAR_REST? If VAR_REST is called multiple times and the error is not on the first one, it might be simplest to add a print statement right before the call to lagn. Something like:
print "at the start of VAR_REST, YY is: " rows(YY) " by " cols(YY);
at the start of VAR_REST, YY is 51 by 3
I don't think that is what is causing the error. Is VAR_REST being called more than once? If you are using GAUSS 14 and you have an error in a procedure like lagn you should a nicely laid out stack trace that will tell you the line and file from which lagn was called that caused the error.
Since you have GAUSS Light which does not have the debugger, I would put print statements before and after the call to lagn at the start of the VAR_REST function. For example, I would change this part of the code:
/* Definition of variables */ YY=LAGN(YY,-1); YY=TRIMR(YY,0,1); XX=TRIMR(XX,0,1);
to:
/* Definition of variables */ print "rows(YY) = " rows(YY) "cols(YY) = " cols(YY); YY=LAGN(YY,-1); print "back from LAGN call"; YY=TRIMR(YY,0,1); XX=TRIMR(XX,0,1);
Then if you don't see "back from LAGN call", you can be more certain that the error did occur there. You will also see what the size of YY was right before the error.
********************** START **********************
rows(YY) = 51.000000 cols(YY) = 3.0000000
back from LAGN call
Does that mean my error occurs from the very beginning of the lagn call, and VAR_REST has being called once only. there is a separate sheet (lag.src) showed some examples, and marked the retp(y')
**> lagn
**
** Purpose: Lags a matrix a specified number of time periods for
** time series analysis.
**
** Format: y = lagn(x,t);
**
** Input: x NxK matrix.
**
** t scalar, number of time periods.
**
** Output: y NxK matrix, x lagged t periods.
**
** Remarks: If t is positive, lagn lags x back by t time periods, so
** the first t observations of y are missing.
** If t is negative, lagn lags x forward by t time periods, so
** the last t observations of y are missing.
**
** See Also: lag1
*/
proc lagn(x,n);
local y;
y = shiftr(x', n, (miss(0, 0))');
retp(y');
endp;
It means that the VAR_REST procedure is not being called more than once before the error. It also means that the error is not related to lagn. To narrow it down. I would add a couple of print statements to the VAR_REST procedure, something like:
print "passed line <enter line number here>
When I run that code in GAUSS, I get the following error message:
GAUSS error report
Looking at the line of code that is causing the error, it appears to me that there is a bug in this program. The kronecker product has the same operator precedence as matrix multiplication, so that is evaluated first. However, I believe they want (X'X) evaluated first. Place parentheses around X'X on that line like this:
D=(1/T).*(EYE(N).*.(X'X));
and the code will run.
oh i didn't noticed this mistake at all..
it is running now, thanks so much!!