Hello,
My name is Christian Falde. I am new to R.
My problem is this. I am attempting to learn R on my own. In so doing I am
using some problems from Davidson and MacKinnon Econometric Theory and Methods
to do so. This is because I can already do the some of the problems in SAS so
I am attempting to rework them using R. Seemed logical to me, now I am stuck
and its really bugging me.
The problem is this
Generate a data set sample size of 25 with the formula y=1+.8*y(t-1)+ u.
Where y is the dependent, y(t-1) is the dependent variable lagged one peroid,
and u is the classical error term. Assume y0=0 and the u is NID(0,1). Use this
sample to compute the OLS estimates B1 (1) and B2(.8). Repeat at least 100
times and find the average of the B's. Use these average to estimate the bias
of the ols estimators.
To start I did the following non lagged program.
final<-function(i,j){x<-function(i) {10*i}
y<-function(i,j) {1+.8*10*i+100*rnorm(j)}
datathreeone<- data.frame(replicate(100,coef(lm(y(i,j)~x(i)))))
rowMeans(datathreeone)}
final(1:25,25)
final(1:50,50)
final(1:100,100)
final(1:200,200)
final(1:10000,10000)
Now the "only" thing I need to to is change ".8*10*i" which is exogenous to
".8* y(t-1) ".
There are two reasons why I did it this way. I needed the rnorm(i) to generate
a new set of u's each replication, and I wanted to be able to use the function
as i did to make the results more concise.
For the lag in SAS we used an if then else logic relating to the number of
observation. This in R would have to be linked to the invisable row number. I
think I need an index variable for the row. Perhaps, sorry thinking while
typing.
Another reason why I am stuck, the lag function was seemingly straight forward.
lag (x, k=1)
yet x has to be a matrix so when I tried to do it like above with y as a
function R complained.
I have been working on this for a couple of days now so everything is begining
to not make sense. It just seems to me to get the matrix to work out I would
need to have two matrices.
dependent and explanatory
y1 = sum ( 1 +.8*0 + 100*rnorm(i))
y2 = sum ( 1 +.8* (dependent row 1) + 100*rnorm(i))
etc
I just am not sure how to do that.
Please help and thank you for your time,
christian falde
_________________________________________________________________
Create the ultimate e-mail address book. Import your contacts to Windows Live
Hotmail.
www.windowslive-hotmail.com/learnmore/managemail2.html?locale=en-us&ocid=TXT_TAGLM_HMWL_reten_impcont_0507
[[alternative HTML version deleted]]
______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
