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|
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| capture program drop binsregselect
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| program define binsregselect, eclass
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| version 13
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|
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| syntax varlist(min=2 numeric ts fv) [if] [in] [fw aw pw] [, deriv(integer 0)
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| absorb(string asis) reghdfeopt(string asis)
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| bins(numlist integer max=2 >=0) pselect(numlist integer >=0) sselect(numlist integer >=0)
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| binspos(string) nbins(string)
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| binsmethod(string) nbinsrot(string)
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| simsgrid(integer 20) savegrid(string asis) replace
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| dfcheck(numlist integer max=2 >=0) masspoints(string) usegtools(string)
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| vce(passthru) useeffn(string) randcut(numlist max=1 >=0 <=1)
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| norotnorm numdist(string) numclust(string)]
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|
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| set more off
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|
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|
|
|
| local qrot=2
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| local rot_lb=1
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| local den_alp=0.975
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|
|
|
|
|
|
| if ("`weight'"!="") {
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| local wt [`weight'`exp']
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| local wtype=substr("`weight'",1,1)
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| }
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|
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|
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|
|
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| if ("`vce'"=="") local vce "vce(robust)"
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|
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| local selectJ ""
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|
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| if ("`nbins'"=="T"|"`nbins'"=="") local nbins=0
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| local len_nbins=0
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| if ("`nbins'"!="") {
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| numlist "`nbins'", integer range(>=0) sort
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| local nbins=r(numlist)
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| local len_nbins: word count `nbins'
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| }
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|
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| if ("`nbins'"=="0"|`len_nbins'>1|"`bins'"!="") local selectJ "T"
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|
|
|
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| local len_p=0
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| local len_s=0
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|
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| if ("`pselect'"!="") {
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| numlist "`pselect'", integer range(>=`deriv') sort
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| local plist=r(numlist)
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| }
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|
|
| if ("`sselect'"!="") {
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| numlist "`sselect'", integer range(>=0) sort
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| local slist=r(numlist)
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| }
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|
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| if ("`bins'"!="") {
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| tokenize `bins'
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| local plist "`1'"
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| local slist "`2'"
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| if ("`plist'"=="") local plist=`deriv'
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| if ("`slist'"=="") local slist=`plist'
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| }
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|
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| local len_p: word count `plist'
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| local len_s: word count `slist'
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|
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| if ((`len_p'==1&`len_s'==0)|(`len_p'==0&`len_s'==1)|(`len_p'==1&`len_s'==1)) {
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| local selectJ "T"
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| }
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|
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| if ("`selectJ'"=="T") {
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| if (`len_p'>1|`len_s'>1) {
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| di as error "Only one p and one s are allowed."
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| exit
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| }
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| if ("`plist'"=="") local plist=`deriv'
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| if ("`slist'"=="") local slist=`plist'
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| }
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|
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| local len_p: word count `plist'
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| local len_s: word count `slist'
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|
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| if ((`len_p'>1|`len_s'>1) & "`selectJ'"!="T") {
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| local selectJ "F"
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| }
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|
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| if ("`selectJ'"=="") {
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| di as error "Degree, smoothness, or # of bins are not correctly specified."
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| exit
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| }
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|
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| tempname deg_mat
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| if ("`selectJ'"=="F") {
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| if (`len_p'>0 & `len_s'==0) {
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| mat `deg_mat'=J(`len_p', 2, .)
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| forval i=1/`len_p' {
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| local el : word `i' of `plist'
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| mat `deg_mat'[`i',1]=`el'
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| mat `deg_mat'[`i',2]=`el'
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| }
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| }
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| if (`len_p'==0 & `len_s'>0) {
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| mat `deg_mat'=J(`len_s', 2, .)
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| forval i=1/`len_s' {
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| local el : word `i' of `slist'
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| mat `deg_mat'[`i',1]=`el'
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| mat `deg_mat'[`i',2]=`el'
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| }
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| }
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| if (`len_p'>0 & `len_s'>0) {
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| mat `deg_mat'=J(`=`len_p'*`len_s'',2,.)
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| local ncom=0
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| forval i=1/`len_p' {
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| local el_p : word `i' of `plist'
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| forval j=1/`len_s' {
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| local el_s : word `j' of `slist'
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| if (`el_p'>=`el_s') {
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| mat `deg_mat'[`=`ncom'+1',1]=`el_p'
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| mat `deg_mat'[`=`ncom'+1',2]=`el_s'
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| local ++ncom
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| }
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| }
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| }
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| if (`ncom'>0) mat `deg_mat'=`deg_mat'[1..`ncom', 1..2]
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| else {
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| di as error "degree and smoothness incompatible"
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| exit
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| }
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| }
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| }
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| else {
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| mat `deg_mat'=(`plist', `slist')
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| }
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|
|
|
|
| local ncom=0
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| local index ""
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| tempname m_deg
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| forval i=1/`=rowsof(`deg_mat')' {
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| if (`deg_mat'[`i',1]>=`deriv') {
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| local ++ncom
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| mat `m_deg'=(nullmat(`m_deg') \ `deg_mat'[`i',1..2])
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| }
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| }
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| if (`ncom'==0) {
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| di as error "Degree and smoothness incorrectly specified."
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| exit
|
| }
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|
|
| if ("`binspos'"=="") local binspos "QS"
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| if ("`binspos'"=="es") local binspos "ES"
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| if ("`binspos'"=="qs") local binspos "QS"
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| if ("`binsmethod'"=="") local binsmethod "DPI"
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| if ("`binsmethod'"=="rot") local binsmethod "ROT"
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| if ("`binsmethod'"=="dpi") local binsmethod "DPI"
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| if ("`dfcheck'"=="") local dfcheck 20 30
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|
|
|
|
| if ("`masspoints'"=="") {
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| local massadj "T"
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| local localcheck "T"
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| }
|
| else if ("`masspoints'"=="off") {
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| local massadj "F"
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| local localcheck "F"
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| }
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| else if ("`masspoints'"=="noadjust") {
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| local massadj "F"
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| local localcheck "T"
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| }
|
| else if ("`masspoints'"=="nolocalcheck") {
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| local massadj "T"
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| local localcheck "F"
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| }
|
| else if ("`masspoints'"=="veryfew") {
|
| di as text in gr "Warning: masspoints(veryfew) not allowed for bin selection."
|
| local localcheck "F"
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| local rot_fewobs "T"
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| local dpi_fewobs "T"
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| }
|
|
|
| tokenize `dfcheck'
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| local dfcheck_n1 "`1'"
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| local dfcheck_n2 "`2'"
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|
|
|
|
| if ("`usegtools'"=="off") local usegtools ""
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| if ("`usegtools'"=="on") local usegtools usegtools
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| if ("`usegtools'"!="") {
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| capture which gtools
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| if (_rc) {
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| di as error "Gtools package not installed."
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| exit
|
| }
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| local localcheck "F"
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|
|
|
|
|
|
|
|
|
|
| }
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|
|
|
|
| local vcetemp: subinstr local vce "vce(" "", all
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| local vcetemp: subinstr local vcetemp ")" "", all
|
| tokenize "`vcetemp'", parse(", ")
|
| if ("`1'"=="cl"|"`1'"=="clu"|"`1'"=="clus"|"`1'"=="clust"|"`1'"=="cluste"|"`1'"=="cluster") {
|
| if ("`3'"==""|"`3'"==",") local clusterON "T"
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| local clustervar `2'
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| }
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|
|
|
|
| if ("`absorb'"!="") {
|
| capture which reghdfe
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| if (_rc) {
|
| di as error "reghdfe not installed."
|
| exit
|
| }
|
| }
|
|
|
|
|
|
|
| if (`deriv'<0) {
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| di as error "deriv() incorrectly specified."
|
| exit
|
| }
|
| if (`simsgrid'<0) {
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| di as error "simsgrid() incorrectly specified."
|
| exit
|
| }
|
| if (`"`savegrid'"'!=`""'&"`replace'"=="") {
|
| confirm new file `"`savegrid'.dta"'
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| }
|
| if ("`nbinsrot'"!="") {
|
| confirm integer n `nbinsrot'
|
| }
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|
|
|
|
| preserve
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|
|
|
|
| tokenize `varlist'
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| fvrevar `1', tsonly
|
| local y_var "`r(varlist)'"
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| fvrevar `2', tsonly
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| local x_var "`r(varlist)'"
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| fvrevar `2', list
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| local x_varname "`r(varlist)'"
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|
|
| macro shift 2
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| local w_var "`*'"
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| fvrevar `w_var', list
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| local w_varname "`r(varlist)'"
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| fvrevar `w_var', tsonly
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| local w_var "`r(varlist)'"
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|
|
| marksample touse
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| qui keep if `touse'
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| local eN=_N
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| local samplesize=_N
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|
|
| if ("`usegtools'"==""&("`masspoints'"!="off"|"`binspos'"=="QS")) {
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| if ("`:sortedby'"!="`x_var'") sort `x_var', stable
|
| }
|
|
|
|
|
| tempvar z_var
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| if ("`wtype'"=="f") qui sum `x_var' `wt', meanonly
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| else qui sum `x_var', meanonly
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|
|
| local N=r(N)
|
| local xmin=r(min)
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| local xmax=r(max)
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|
|
| tempname xvec zvec Xm binedges
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|
|
|
|
| local Ndist=.
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| if ("`massadj'"=="T") {
|
| if ("`numdist'"!=""&"`numdist'"!=".") {
|
| local Ndist=`numdist'
|
| }
|
| else {
|
| if ("`usegtools'"=="") {
|
| mata: `binedges'=binsreg_uniq(st_data(.,"`x_var'"), ., 1, "Ndist")
|
| mata: mata drop `binedges'
|
| }
|
| else {
|
| qui gunique `x_var'
|
| local Ndist=r(unique)
|
| }
|
| }
|
| local eN=min(`eN', `Ndist')
|
| }
|
|
|
| local Nclust=.
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| if ("`clusterON'"=="T") {
|
| if ("`numclust'"!=""&"`numclust'"!=".") {
|
| local Nclust=`numclust'
|
| }
|
| else {
|
| if ("`usegtools'"=="") {
|
| mata: st_local("Nclust", strofreal(rows(uniqrows(st_data(.,"`clustervar'")))))
|
| }
|
| else {
|
| qui gunique `clustervar'
|
| local Nclust=r(unique)
|
| }
|
| }
|
| local eN=min(`eN', `Nclust')
|
| }
|
|
|
|
|
| if ("`randcut'"!="") {
|
| mata: `xvec'=st_data(.,"`x_var'")
|
| qui keep if runiform()<=`randcut'
|
| local eN_sub=_N
|
|
|
| local Ndist_sub=.
|
| if ("`massadj'"=="T") {
|
| if ("`usegtools'"=="") {
|
| mata: `binedges'=binsreg_uniq(st_data(.,"`x_var'"), ., 1, "Ndist_sub")
|
| mata: mata drop `binedges'
|
| }
|
| else {
|
| qui gunique `x_var'
|
| local Ndist_sub=r(unique)
|
| }
|
| local eN_sub=min(`eN_sub', `Ndist_sub')
|
| }
|
|
|
| local Nclust_sub=.
|
| if ("`clusterON'"=="T") {
|
| if ("`usegtools'"=="") {
|
| mata: st_local("Nclust_sub", strofreal(rows(uniqrows(st_data(.,"`clustervar'")))))
|
| }
|
| else {
|
| qui gunique `clustervar'
|
| local Nclust_sub=r(unique)
|
| }
|
| local eN_sub=min(`eN_sub', `Nclust_sub')
|
| }
|
| }
|
| else {
|
| local eN_sub=`eN'
|
| local Ndist_sub=`Ndist'
|
| local Nclust_sub=`Nclust'
|
| }
|
|
|
| sum `x_var', meanonly
|
| gen `z_var'=(`x_var'-`=r(min)')/(`=r(max)'-`=r(min)')
|
| mata: `zvec'=st_data(., "`z_var'")
|
|
|
|
|
|
|
| tempname mat_imse_bsq_rot mat_imse_var_rot mat_imse_bsq_dpi mat_imse_var_dpi
|
| mat_J_rot_unreg mat_J_rot_reg mat_J_rot_uniq mat_J_dpi mat_J_dpi_uniq
|
| mat `mat_imse_bsq_rot'=J(`ncom',1,.)
|
| mat `mat_imse_var_rot'=J(`ncom',1,.)
|
| mat `mat_imse_bsq_dpi'=J(`ncom',1,.)
|
| mat `mat_imse_var_dpi'=J(`ncom',1,.)
|
| mat `mat_J_rot_unreg'=J(`ncom',1,.)
|
| mat `mat_J_rot_reg'=J(`ncom',1,.)
|
| mat `mat_J_rot_uniq'=J(`ncom',1,.)
|
| mat `mat_J_dpi'=J(`ncom',1,.)
|
| mat `mat_J_dpi_uniq'=J(`ncom',1,.)
|
|
|
|
|
|
|
| forval num=1/`ncom' {
|
|
|
|
|
| local p=`m_deg'[`num', 1]
|
| local s=`m_deg'[`num', 2]
|
|
|
|
|
| local imse_bsq_rot=.
|
| local imse_var_rot=.
|
| local imse_bsq_dpi=.
|
| local imse_var_dpi=.
|
|
|
|
|
|
|
|
|
| tempname vcons bcons coef
|
| tempvar resid1 resid2
|
| local J_rot_reg=.
|
| local J_rot_unreg=.
|
| if ("`nbinsrot'"!="") local J_rot_reg=`nbinsrot'
|
|
|
|
|
| if (`J_rot_reg'==.&"`rot_fewobs'"=="") {
|
| if (`eN_sub'<=`dfcheck_n1'+`p'+1+`qrot') {
|
| local rot_fewobs "T"
|
| di as text in gr "Warning: Too small effective sample size for bin selection."
|
| }
|
| }
|
|
|
| if ("`rot_fewobs'"!="T"&`J_rot_reg'==.) {
|
|
|
| local series_rot ""
|
| forvalues i=1/`=`p'+`qrot'' {
|
| tempvar z_var_`i'
|
| qui gen `z_var_`i''=`z_var'^`i'
|
| local series_rot `series_rot' `z_var_`i''
|
| }
|
|
|
|
|
| if ("`absorb'"=="") capture reg `y_var' `series_rot' `w_var' `wt'
|
| else capture reghdfe `y_var' `series_rot' `w_var' `wt', absorb(`absorb') resid(`resid1')
|
|
|
| if (_rc==0) {
|
| mat `coef'=e(b)
|
| mat `coef'=`coef'[1,`=`p'+1'..`=`p'+`qrot'']
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| tempvar pred_y y_var_2 pred_y2 s2
|
| if ("`absorb'"=="") predict `pred_y', xb
|
| else predict `pred_y', xbd
|
|
|
| qui gen `y_var_2'=`y_var'^2
|
| if ("`absorb'"=="") {
|
| capture reg `y_var_2' `series_rot' `w_var' `wt'
|
| if (_rc) {
|
| error _rc
|
| exit _rc
|
| }
|
| predict `pred_y2', xb
|
| }
|
| else {
|
| capture reghdfe `y_var_2' `series_rot' `w_var' `wt', absorb(`absorb') resid(`resid2')
|
| if (_rc) {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| predict `pred_y2', xbd
|
| }
|
|
|
| qui gen `s2'=`pred_y2'-`pred_y'^2
|
|
|
|
|
| if ("`rotnorm'"=="") {
|
| if ("`wtype'"!="p") qui sum `z_var' `wt'
|
| else qui sum `z_var' [aw`exp']
|
| local zbar=r(mean)
|
| local zsd=r(sd)
|
|
|
| tempvar fz
|
|
|
| local cutval=normalden(invnormal(`den_alp')*`zsd', 0, `zsd')
|
| qui gen `fz'=max(normalden(`z_var', `zbar', `zsd'), `cutval')
|
| if ("`binspos'"=="ES") qui replace `s2'=`s2'/`fz'
|
| else qui replace `s2'=`s2'*(`fz'^(2*`deriv'))
|
| }
|
|
|
| if ("`wt'"!="") qui sum `s2' [aw`exp'], meanonly
|
| else qui sum `s2', meanonly
|
| local sig2=r(mean)
|
| mata: imse_v_cons(`p', `deriv', "`vcons'")
|
| local imse_v=`sig2'*`vcons'
|
|
|
|
|
|
|
| tempvar pred_deriv
|
| mata: `Xm'=J(rows(`zvec'),0,.)
|
|
|
| forval i=`=`p'+1'/`=`p'+`qrot'' {
|
| mata:`Xm'=(`Xm',`zvec':^(`i'-`p'-1)*factorial(`i')/factorial(`i'-`p'-1))
|
| }
|
|
|
| mata: `Xm'=`Xm'*st_matrix("`coef'")';
|
| st_store(.,st_addvar("float", "`pred_deriv'"), `Xm':^2)
|
|
|
| mata: mata drop `Xm'
|
|
|
| if ("`rotnorm'"=="") {
|
| if ("`binspos'"=="QS") {
|
| qui replace `pred_deriv'=`pred_deriv'/(`fz'^(2*`p'+2-2*`deriv'))
|
| }
|
| }
|
| if ("`wt'"!="") qui sum `pred_deriv' [aw`exp'], meanonly
|
| else qui sum `pred_deriv', meanonly
|
| local mean_deriv=r(mean)
|
|
|
| mata: imse_b_cons(`p', `deriv', "`bcons'")
|
| local imse_b=`mean_deriv'*`bcons'
|
|
|
|
|
| local J_rot_unreg=ceil((`imse_b'*2*(`p'+1-`deriv')/
|
| (`imse_v'*(1+2*`deriv')))^(1/(2*`p'+2+1))*
|
| `eN_sub'^(1/(2*`p'+2+1)))
|
| local J_rot_reg=max(`J_rot_unreg',
|
| ceil((2*(`p'+1-`deriv')/(1+2*`deriv')*`rot_lb'*`eN_sub')^(1/(2*`p'+2+1))))
|
|
|
| local imse_bsq_rot=`imse_b'
|
| local imse_var_rot=`imse_v'
|
|
|
| mat `mat_imse_bsq_rot'[`num',1]=`imse_bsq_rot'
|
| mat `mat_imse_var_rot'[`num',1]=`imse_var_rot'
|
| }
|
|
|
|
|
| local J_rot_uniq=`J_rot_reg'
|
|
|
| if (("`binsmethod'"=="DPI"|"`localcheck'"=="T")&"`masspoints'"!="veryfew") {
|
| tempvar zcat
|
| qui gen `zcat'=. in 1
|
|
|
| tempname kmat
|
|
|
| if "`binspos'"=="ES" {
|
| local stepsize=1/`J_rot_reg'
|
| forvalues i=1/`=`J_rot_reg'+1' {
|
| mat `kmat'=(nullmat(`kmat') \ `=0+`stepsize'*(`i'-1)')
|
| }
|
| }
|
| else {
|
| if (`J_rot_reg'==1) {
|
| mat `kmat'=(0 \ 1)
|
| }
|
| else {
|
| binsreg_pctile `z_var' `wt', nq(`J_rot_reg') `usegtools'
|
| mat `kmat'=(0 \ r(Q) \ 1)
|
| }
|
| }
|
|
|
| mata: st_matrix("`kmat'", (0 \ uniqrows(st_matrix("`kmat'")[|2 \ `=`J_rot_reg'+1'|])))
|
| local J_rot_uniq=rowsof(`kmat')-1
|
| if ("`binsmethod'"=="DPI"&"`dpi_fewobs'"=="") {
|
| binsreg_irecode `z_var', knotmat(`kmat') bin(`zcat')
|
| `usegtools' nbins(`J_rot_uniq') pos(`binspos') knotliston(T)
|
| }
|
| }
|
|
|
|
|
|
|
|
|
| local J_dpi=.
|
|
|
| if ("`J_rot_uniq'"!="."&"`binsmethod'"=="DPI"&"`masspoints'"!="veryfew") {
|
|
|
| if ((`p'-`s'+1)*(`J_rot_uniq'-1)+`p'+2+`dfcheck_n2'>=`eN_sub') {
|
| di as text in gr "Warning: Too small effective sample size for DPI selection."
|
| local dpi_fewobs "T"
|
| }
|
|
|
|
|
| if ("`localcheck'"=="T"&"`dpi_fewobs'"!="T") {
|
| mata: st_local("Ncat", strofreal(rows(uniqrows(st_data(.,"`zcat'")))))
|
| if (`J_rot_uniq'==`Ncat') {
|
| mata: `binedges'=binsreg_uniq(`zvec', st_data(.,"`zcat'"), `J_rot_uniq', "uniqmin")
|
| mata: mata drop `binedges'
|
| }
|
| else {
|
| local uniqmin=0
|
| di as text in gr "Warning: There are empty bins."
|
| }
|
|
|
| if (`uniqmin'<`p'+1) {
|
| local dpi_fewobs "T"
|
| di as text in gr "Warning: Some bins have too few distinct x-values for DPI selection."
|
| }
|
| }
|
| }
|
| else local dpi_fewobs "T"
|
|
|
| if ("`binsmethod'"=="DPI"&"`dpi_fewobs'"!="T") {
|
|
|
| if ("`massadj'"=="T") {
|
| if ("`absorb'"=="") {
|
| if ("`clusterON'"=="") {
|
| local vce "vce(cluster `z_var')"
|
| }
|
| else {
|
| if (`Nclust_sub'>`Ndist_sub') {
|
| local vce "vce(cluster `z_var')"
|
| di as text in gr "Warning: # of mass points < # of clusters. vce option overridden."
|
| }
|
| }
|
| }
|
| else {
|
| if ("`clustervar'"=="") local vce "vce(cluster `z_var')"
|
| }
|
| }
|
|
|
|
|
|
|
| tempvar derivfit derivse biasterm biasterm_v projbias
|
| qui gen `derivfit'=. in 1
|
| qui gen `derivse'=. in 1
|
| qui gen `biasterm'=. in 1
|
| if (`deriv'>0) qui gen `biasterm_v'=. in 1
|
| qui gen `projbias'=. in 1
|
|
|
|
|
|
|
| mata: bias("`z_var'", "`zcat'", "`kmat'", `p', 0, "`biasterm'")
|
| if (`deriv'>0) {
|
| mata: bias("`z_var'", "`zcat'", "`kmat'", `p', `deriv', "`biasterm_v'")
|
| }
|
|
|
|
|
|
|
| local nseries=(`p'-`s'+1)*(`J_rot_uniq'-1)+`p'+2
|
| local series ""
|
| forvalues i=1/`nseries' {
|
| tempvar sp`i'
|
| local series `series' `sp`i''
|
| qui gen `sp`i''=. in 1
|
| }
|
|
|
| mata: binsreg_st_spdes(`zvec', "`series'", "`kmat'", st_data(.,"`zcat'"), `=`p'+1', 0, `=`s'+1')
|
|
|
| if ("`absorb'"=="") capture reg `y_var' `series' `w_var' `wt', nocon
|
| else capture reghdfe `y_var' `series' `w_var' `wt', absorb(`absorb') `reghdfeopt'
|
|
|
|
|
| tempname temp_b temp_V
|
| if (_rc==0) {
|
| matrix `temp_b'=e(b)
|
| matrix `temp_V'=e(V)
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
|
|
| mata: `Xm'=binsreg_spdes(`zvec', "`kmat'", st_data(.,"`zcat'"), `=`p'+1', `=`p'+1', `=`s'+1');
|
| st_store(.,"`derivfit'", (binsreg_pred(`Xm', (st_matrix("`temp_b'")[|1 \ `nseries'|])',
|
| st_matrix("`temp_V'")[|1,1 \ `nseries',`nseries'|], "xb"))[,1])
|
| mata: mata drop `Xm'
|
|
|
| qui replace `biasterm'=`derivfit'*`biasterm'
|
| if (`deriv'>0) qui replace `biasterm_v'=`derivfit'*`biasterm_v'
|
| drop `series'
|
|
|
|
|
| local nseries=(`p'-`s'+1)*(`J_rot_uniq'-1)+`p'+1
|
| local series ""
|
| forvalues i=1/`nseries' {
|
| tempvar sp`i'
|
| local series `series' `sp`i''
|
| qui gen `sp`i''=. in 1
|
| }
|
|
|
| mata: binsreg_st_spdes(`zvec', "`series'", "`kmat'", st_data(.,"`zcat'"), `p', 0, `s')
|
| capture reg `biasterm' `series' `wt', nocon
|
| tempname bias_b bias_V
|
| if (_rc==0) {
|
| matrix `bias_b'=e(b)
|
| matrix `bias_V'=e(V)
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| mata: `Xm'=binsreg_spdes(`zvec', "`kmat'", st_data(.,"`zcat'"), `p', `deriv', `s');
|
| st_store(.,"`projbias'", binsreg_pred(`Xm', st_matrix("`bias_b'")', st_matrix("`bias_V'"), "xb")[,1])
|
|
|
| if (`deriv'==0) {
|
| qui replace `biasterm'=(`biasterm'-`projbias')^2
|
| }
|
| else {
|
| qui replace `biasterm'=(`biasterm_v'-`projbias')^2
|
| }
|
|
|
| if ("`wt'"!="") qui sum `biasterm' [aw`exp'], meanonly
|
| else qui sum `biasterm', meanonly
|
| local m_bias=r(mean)
|
| local imse_b=`m_bias'*`J_rot_uniq'^(2*(`p'+1-`deriv'))
|
|
|
|
|
| if ("`absorb'"=="") capture reg `y_var' `series' `w_var' `wt', nocon `vce'
|
| else capture reghdfe `y_var' `series' `w_var' `wt', absorb(`absorb') `vce' `reghdfeopt'
|
|
|
|
|
| if (_rc==0) {
|
| matrix `temp_b'=e(b)
|
| matrix `temp_V'=e(V)
|
| tempname vcov
|
| mata: `vcov'=st_matrix("`temp_V'")
|
| if ("`absorb'"=="") mata: `vcov'=`vcov'[|1,1 \ `nseries',`nseries'|]
|
| else {
|
| mata: `vcov'=(`vcov'[|1,1 \ `nseries', `nseries'|], `vcov'[|1,cols(`vcov') \ `nseries', cols(`vcov')|] \
|
| `vcov'[|cols(`vcov'), 1 \ cols(`vcov'), `nseries'|], `vcov'[cols(`vcov'), cols(`vcov')]);
|
| `Xm'=(`Xm', J(rows(`Xm'),1,1))
|
| }
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| mata: st_store(., "`derivse'", (binsreg_pred(`Xm', ., `vcov', "se")[,2]):^2)
|
| mata: mata drop `vcov'
|
|
|
| if ("`wt'"!="") qui sum `derivse' [aw`exp'], meanonly
|
| else qui sum `derivse', meanonly
|
| local m_se=r(mean)
|
| local imse_v=`m_se'/(`J_rot_uniq'^(1+2*`deriv'))
|
| mata: mata drop `Xm'
|
|
|
|
|
| local J_dpi=ceil((`imse_b'*2*(`p'+1-`deriv')/
|
| (`imse_v'*(1+2*`deriv')))^(1/(2*`p'+2+1)))
|
|
|
| local imse_bsq_dpi=`imse_b'
|
| local imse_var_dpi=`imse_v'*`eN_sub'
|
|
|
| mat `mat_imse_bsq_dpi'[`num',1]=`imse_bsq_dpi'
|
| mat `mat_imse_var_dpi'[`num',1]=`imse_var_dpi'
|
|
|
| }
|
| local J_dpi_uniq=`J_dpi'
|
|
|
|
|
|
|
|
|
|
|
| if ("`useeffn'"!=""|"`randcut'"!="") {
|
| if ("`useeffn'"!="") local scaling=(`useeffn'/`eN')^(1/(2*`p'+2+1))
|
| if ("`randcut'"!="") local scaling=(`eN'/`eN_sub')^(1/(2*`p'+2+1))
|
|
|
| if (`J_rot_unreg'!=.) local J_rot_unreg=ceil(`J_rot_unreg'*`scaling')
|
| if (`J_rot_reg'!=.) local J_rot_reg=ceil(`J_rot_reg'*`scaling')
|
| if (`J_rot_uniq'!=.) local J_rot_uniq=ceil(`J_rot_uniq'*`scaling')
|
| if (`J_dpi'!=.) local J_dpi=ceil(`J_dpi'*`scaling')
|
| if (`J_dpi_uniq'!=.) local J_dpi_uniq=ceil(`J_dpi_uniq'*`scaling')
|
| }
|
|
|
| mat `mat_J_rot_unreg'[`num',1]=`J_rot_unreg'
|
| mat `mat_J_rot_reg'[`num',1]=`J_rot_reg'
|
| mat `mat_J_rot_uniq'[`num',1]=`J_rot_uniq'
|
| mat `mat_J_dpi'[`num',1]=`J_dpi'
|
| mat `mat_J_dpi_uniq'[`num',1]=`J_dpi_uniq'
|
|
|
| }
|
|
|
|
|
| tempname ord_rot_unreg ord_rot_reg ord_rot_uniq ord_dpi ord_dpi_uniq
|
| ind_rot_unreg ind_rot_reg ind_rot_uniq ind_dpi ind_dpi_uniq
|
| local imse_var_dpi_upd=.
|
| local imse_bsq_dpi_upd=.
|
| if ("`selectJ'"=="F") {
|
|
|
| foreach name in "rot_unreg" "rot_reg" "rot_uniq" "dpi" "dpi_uniq" {
|
| mata: findmindex("`mat_J_`name''", "`ind_`name''", `nbins', `ncom')
|
| mat `ord_`name''=`m_deg'[`ind_`name'',1..2]
|
| local J_`name'=`nbins'
|
| }
|
| if (`nbins'!=`=`mat_J_dpi'[`ind_dpi',1]') {
|
| qui bins_imse `y_var' `z_var' `w_var' `wt', deriv(`deriv')
|
| p(`=`ord_dpi'[1,1]') s(`=`ord_dpi'[1,2]') nbins(`J_dpi') eN_sub(`eN_sub')
|
| binspos(`binspos') `vce' `usegtools'
|
| zvec(`zvec') absorb(`absorb') reghdfeopt(`reghdfeopt')
|
| local imse_var_dpi_upd=e(imse_var)
|
| local imse_bsq_dpi_upd=e(imse_bsq)
|
| }
|
| }
|
| else {
|
| if (`len_nbins'>1) {
|
| tempname m_nbins
|
| forval i=1/`len_nbins' {
|
| local el: word `i' of `nbins'
|
| mat `m_nbins'=(nullmat(`m_nbins') \ `el')
|
| }
|
|
|
| foreach name in "rot_unreg" "rot_reg" "rot_uniq" "dpi" "dpi_uniq" {
|
| mata: findmindex("`m_nbins'", "`ind_`name''", `=`mat_J_`name''[1,1]', `len_nbins')
|
| local J_`name'=`m_nbins'[`ind_`name'',1]
|
| }
|
| }
|
| foreach name in "rot_unreg" "rot_reg" "rot_uniq" "dpi" "dpi_uniq" {
|
| mat `ord_`name''=`m_deg'[1,1..2]
|
| }
|
| }
|
| mata: mata drop `zvec'
|
|
|
|
|
| tempname xkmat
|
|
|
| if ("`binsmethod'"=="ROT"&"`rot_fewobs'"!="T") {
|
| local Jselected=`J_rot_uniq'
|
| local pselected=`ord_rot_uniq'[1,1]
|
| local sselected=`ord_rot_uniq'[1,2]
|
| }
|
| else if ("`binsmethod'"=="DPI"&"`dpi_fewobs'"!="T") {
|
| local Jselected=`J_dpi'
|
| local pselected=`ord_dpi'[1,1]
|
| local sselected=`ord_dpi'[1,2]
|
| }
|
| else {
|
| local Jselectfail "T"
|
| }
|
|
|
| if ("`Jselectfail'"!="T"&"`useeffn'"=="") {
|
| if ("`binspos'"=="ES") {
|
| local stepsize=1/`Jselected'
|
| forvalues i=1/`=`Jselected'+1' {
|
| mat `xkmat'=(nullmat(`xkmat') \ `=`xmin'+`stepsize'*(`i'-1)')
|
| }
|
| }
|
| else {
|
| if (`Jselected'>1) {
|
| if ("`randcut'"!="") {
|
| qui set obs `samplesize'
|
| mata: st_store(., "`x_var'", `xvec')
|
| mata: mata drop `xvec'
|
| }
|
| binsreg_pctile `x_var' `wt', nq(`Jselected')
|
| mat `xkmat'=(`xmin'\ r(Q) \ `xmax')
|
| }
|
| else mat `xkmat'=(`xmin' \ `xmax')
|
| }
|
|
|
|
|
| mata: st_matrix("`xkmat'", (`xmin' \ uniqrows(st_matrix("`xkmat'")[|2 \ `=`Jselected'+1'|])))
|
| if (`Jselected'!=rowsof(`xkmat')-1) {
|
| local Jselected=rowsof(`xkmat')-1
|
| }
|
| if ("`binsmethod'"=="DPI") {
|
| local J_dpi_uniq=`Jselected'
|
| }
|
| }
|
| else mat `xkmat'=.
|
|
|
|
|
| if ("`binsmethod'"=="DPI") local method "IMSE-optimal plug-in choice"
|
| else local method "IMSE-optimal rule-of-thumb choice"
|
| if ("`selectJ'"=="T") local method "`method' (select # of bins)"
|
| else local method "`method' (select degree and smoothness)"
|
|
|
|
|
| if ("`binspos'"=="ES") {
|
| local placement "Evenly-spaced"
|
| }
|
| else {
|
| local placement "Quantile-spaced"
|
| }
|
|
|
|
|
| if (`"`savegrid'"'!=`""') {
|
| if ("`Jselectfail'"!="T"&"`useeffn'"=="") {
|
| clear
|
| local obs=`simsgrid'*`Jselected'+`Jselected'-1
|
| qui set obs `obs'
|
|
|
| qui gen `x_varname'=. in 1
|
| label var `x_varname' "Eval. point"
|
| qui gen binsreg_isknot=. in 1
|
| label var binsreg_isknot "Is the eval. point an inner knot"
|
| qui gen binsreg_bin=. in 1
|
| label var binsreg_bin "indicator of bin"
|
| mata: st_store(., (1,2,3), binsreg_grids("`xkmat'", `simsgrid'))
|
| foreach var of local w_varname {
|
| qui gen `var'=0
|
| }
|
|
|
| qui save `"`savegrid'"', `replace'
|
| }
|
| else {
|
| di as text in gr "Warning: Grid not saved. Selection fails or useeffn() is specified."
|
| }
|
| }
|
|
|
|
|
| di ""
|
| di in smcl in gr "Bin selection for binscatter estimates"
|
| di in smcl in gr "Method: `method'"
|
| di in smcl in gr "Position: `placement'"
|
| if (`"`savegrid'"'!=`""') {
|
| di in smcl in gr `"Output file: `savegrid'.dta"'
|
| }
|
| di ""
|
| di in smcl in gr "{hline 28}{c TT}{hline 10}"
|
| di in smcl in gr "{ralign 27:# of observations}" _col(28) " {c |} " _col(30) as result %7.0f `N'
|
| di in smcl in gr "{ralign 27:# of distince values}" _col(28) " {c |} " _col(30) as result %7.0f `Ndist'
|
| di in smcl in gr "{ralign 27:# of clusters}" _col(28) " {c |} " _col(30) as result %7.0f `Nclust'
|
| if ("`useeffn'"=="") {
|
| di in smcl in gr "{ralign 27:eff. sample size}" _col(28) " {c |} " _col(30) as result %7.0f `eN'
|
| }
|
| else {
|
| di in smcl in gr "{ralign 27:eff. sample size}" _col(28) " {c |} " _col(30) as result %7.0f `useeffn'
|
| }
|
|
|
| foreach name in "rot_unreg" "rot_reg" "rot_uniq" "dpi" "dpi_uniq" {
|
| local df_`name'=.
|
| if (`J_`name''!=.) local df_`name'=(`ord_`name''[1,1]-`ord_`name''[1,2]+1)*(`J_`name''-1)+`ord_`name''[1,1]+1
|
| }
|
|
|
| if ("`selectJ'"=="F") {
|
| local imse_bsq_rot=`mat_imse_bsq_rot'[`ind_rot_unreg',1]
|
| local imse_var_rot=`mat_imse_var_rot'[`ind_rot_unreg',1]
|
| if ("`imse_var_dpi_upd'"!=".") {
|
| local imse_bsq_dpi=`imse_bsq_dpi_upd'
|
| local imse_var_dpi=`imse_var_dpi_upd'
|
| }
|
| else {
|
| local imse_bsq_dpi=`mat_imse_bsq_dpi'[`ind_dpi',1]
|
| local imse_var_dpi=`mat_imse_var_dpi'[`ind_dpi',1]
|
| }
|
| di in smcl in gr "{hline 28}{c +}{hline 10}"
|
| di in smcl in gr "{ralign 27:# of bins}" _col(28) " {c |} " _col(30) as result %7.0f `nbins'
|
| di in smcl in gr "{hline 28}{c BT}{hline 10}"
|
| di ""
|
| di in smcl in gr "{hline 14}{c TT}{hline 8}{c TT}{hline 7}{c TT}{hline 7}{c TT}{hline 15}{c TT}{hline 14}"
|
| di in smcl in gr "{rcenter 13: method}" _col(13) " {c |} " "{center 7: p}"
|
| _col(22) "{c |}" "{rcenter 7: s}"
|
| _col(31) "{c |}" "{center 7: df}"
|
| _col(40) "{c |}" "{center 14: imse, bias^2}"
|
| _col(56) "{c |}" "{center 14: imse, var.}"
|
| di in smcl in gr "{hline 14}{c +}{hline 8}{c +}{hline 7}{c +}{hline 7}{c +}{hline 15}{c +}{hline 14}"
|
| di in smcl in gr "{rcenter 13: ROT-POLY}" _col(13) " {c |} " as result %4.0f `ord_rot_unreg'[1,1]
|
| _col(23) in gr " {c |} " as result %4.0f `ord_rot_unreg'[1,2]
|
| _col(32) in gr "{c |}" as result %5.0f `df_rot_unreg'
|
| _col(40) in gr "{c |} " as result %7.3f `imse_bsq_rot'
|
| _col(56) in gr "{c |} " as result %7.3f `imse_var_rot'
|
| di in smcl in gr "{rcenter 13: ROT-REGUL}" _col(13) " {c |} " as result %4.0f `ord_rot_reg'[1,1]
|
| _col(23) in gr " {c |} " as result %4.0f `ord_rot_reg'[1,2]
|
| _col(32) in gr "{c |}" as result %5.0f `df_rot_reg'
|
| _col(40) in gr "{c |} " as result %7.3f .
|
| _col(56) in gr "{c |} " as result %7.3f .
|
| di in smcl in gr "{rcenter 13: ROT-UKNOT}" _col(13) " {c |} " as result %4.0f `ord_rot_uniq'[1,1]
|
| _col(23) in gr " {c |} " as result %4.0f `ord_rot_uniq'[1,2]
|
| _col(32) in gr "{c |}" as result %5.0f `df_rot_uniq'
|
| _col(40) in gr "{c |} " as result %7.3f .
|
| _col(56) in gr "{c |} " as result %7.3f .
|
| di in smcl in gr "{rcenter 13: DPI}" _col(13) " {c |} " as result %4.0f `ord_dpi'[1,1]
|
| _col(23) in gr " {c |} " as result %4.0f `ord_dpi'[1,2]
|
| _col(32) in gr "{c |}" as result %5.0f `df_dpi'
|
| _col(40) in gr "{c |} " as result %7.3f `imse_bsq_dpi'
|
| _col(56) in gr "{c |} " as result %7.3f `imse_var_dpi'
|
| di in smcl in gr "{rcenter 13: DPI-UKNOT}" _col(13) " {c |} " as result %4.0f `ord_dpi_uniq'[1,1]
|
| _col(23) in gr " {c |} " as result %4.0f `ord_dpi_uniq'[1,2]
|
| _col(32) in gr "{c |}" as result %5.0f `df_dpi_uniq'
|
| _col(40) in gr "{c |} " as result %7.3f .
|
| _col(56) in gr "{c |} " as result %7.3f .
|
| di in smcl in gr "{hline 14}{c BT}{hline 8}{c BT}{hline 7}{c +}{hline 7}{c BT}{hline 15}{c BT}{hline 14}"
|
| di in smcl in gr "p: degree of polynomial. s: # of smoothness constraints. df: degrees of freedom."
|
| }
|
| else {
|
| local imse_bsq_rot=`mat_imse_bsq_rot'[1,1]
|
| local imse_var_rot=`mat_imse_var_rot'[1,1]
|
| local imse_bsq_dpi=`mat_imse_bsq_dpi'[1,1]
|
| local imse_var_dpi=`mat_imse_var_dpi'[1,1]
|
| di in smcl in gr "{hline 28}{c +}{hline 10}"
|
| di in smcl in gr "{ralign 27:Degree of polynomial}" _col(28) " {c |} " _col(30) as result %7.0f `m_deg'[1,1]
|
| di in smcl in gr "{ralign 27:# of smoothness constraint}" _col(28) " {c |} " _col(30) as result %7.0f `m_deg'[1,2]
|
| di in smcl in gr "{hline 28}{c BT}{hline 10}"
|
| di ""
|
| di in smcl in gr "{hline 14}{c TT}{hline 12}{c TT}{hline 10}{c TT}{hline 14}{c TT}{hline 14}"
|
| di in smcl in gr "{rcenter 13: method}" _col(13) " {c |} " "{center 11: # of bins}" _col(26) "{c |}" "{rcenter 10: df}" _col(39) "{c |}" "{center 14: imse, bias^2}" _col(54) "{c |}" "{center 14: imse, var.}"
|
| di in smcl in gr "{hline 14}{c +}{hline 12}{c +}{hline 10}{c +}{hline 14}{c +}{hline 14}"
|
| di in smcl in gr "{rcenter 13: ROT-POLY}" _col(13) " {c |} " as result %7.0f `J_rot_unreg' _col(28) in gr "{c |}" as result %7.0f `df_rot_unreg'
|
| _col(39) in gr "{c |} " as result %7.3f `imse_bsq_rot' _col(54) in gr "{c |} " as result %7.3f `imse_var_rot'
|
| di in smcl in gr "{rcenter 13: ROT-REGUL}" _col(13) " {c |} " as result %7.0f `J_rot_reg' _col(28) in gr "{c |}" as result %7.0f `df_rot_reg'
|
| _col(39) in gr "{c |} " as result %7.3f . _col(54) in gr "{c |} " as result %7.3f .
|
| di in smcl in gr "{rcenter 13: ROT-UKNOT}" _col(13) " {c |} " as result %7.0f `J_rot_uniq' _col(28) in gr "{c |}" as result %7.0f `df_rot_uniq'
|
| _col(39) in gr "{c |} " as result %7.3f . _col(54) in gr "{c |} " as result %7.3f .
|
| di in smcl in gr "{rcenter 13: DPI}" _col(13) " {c |} " as result %7.0f `J_dpi' _col(28) in gr "{c |}" as result %7.0f `df_dpi'
|
| _col(39) in gr "{c |} " as result %7.3f `imse_bsq_dpi' _col(54) in gr "{c |} " as result %7.3f `imse_var_dpi'
|
| di in smcl in gr "{rcenter 13: DPI-UKNOT}" _col(13) " {c |} " as result %7.0f `J_dpi_uniq' _col(28) in gr "{c |}" as result %7.0f `df_dpi_uniq'
|
| _col(39) in gr "{c |} " as result %7.3f . _col(54) in gr "{c |} " as result %7.3f .
|
| di in smcl in gr "{hline 14}{c BT}{hline 12}{c BT}{hline 10}{c BT}{hline 14}{c BT}{hline 14}"
|
| di in smcl in gr "df: degrees of freedom."
|
| }
|
|
|
|
|
| ereturn clear
|
| ereturn scalar N=`N'
|
| ereturn scalar Ndist=`Ndist'
|
| ereturn scalar Nclust=`Nclust'
|
| ereturn scalar deriv=`deriv'
|
| ereturn scalar imse_bsq_rot=`imse_bsq_rot'
|
| ereturn scalar imse_var_rot=`imse_var_rot'
|
| ereturn scalar imse_bsq_dpi=`imse_bsq_dpi'
|
| ereturn scalar imse_var_dpi=`imse_var_dpi'
|
|
|
| ereturn scalar nbinsrot_poly=`J_rot_unreg'
|
| ereturn scalar nbinsrot_regul=`J_rot_reg'
|
| ereturn scalar nbinsrot_uknot=`J_rot_uniq'
|
| ereturn scalar nbinsdpi=`J_dpi'
|
| ereturn scalar nbinsdpi_uknot=`J_dpi_uniq'
|
|
|
| ereturn scalar prot_poly=`ord_rot_unreg'[1,1]
|
| ereturn scalar prot_regul=`ord_rot_reg'[1,1]
|
| ereturn scalar prot_uknot=`ord_rot_uniq'[1,1]
|
| ereturn scalar pdpi=`ord_dpi'[1,1]
|
| ereturn scalar pdpi_uknot=`ord_dpi_uniq'[1,1]
|
|
|
| ereturn scalar srot_poly=`ord_rot_unreg'[1,2]
|
| ereturn scalar srot_regul=`ord_rot_reg'[1,2]
|
| ereturn scalar srot_uknot=`ord_rot_uniq'[1,2]
|
| ereturn scalar sdpi=`ord_dpi'[1,2]
|
| ereturn scalar sdpi_uknot=`ord_dpi_uniq'[1,2]
|
|
|
| ereturn matrix knot=`xkmat'
|
| tempname m_p m_s
|
| mat `m_p'=`m_deg'[1..`ncom',1]
|
| mat `m_s'=`m_deg'[1..`ncom',2]
|
| ereturn matrix m_p=`m_p'
|
| ereturn matrix m_s=`m_s'
|
| ereturn matrix m_nbinsrot_poly=`mat_J_rot_unreg'
|
| ereturn matrix m_nbinsrot_regul=`mat_J_rot_reg'
|
| ereturn matrix m_nbinsrot_uknot=`mat_J_rot_uniq'
|
| ereturn matrix m_nbinsdpi=`mat_J_dpi'
|
| ereturn matrix m_nbinsdpi_uknot=`mat_J_dpi_uniq'
|
|
|
| ereturn matrix m_imse_bsq_dpi=`mat_imse_bsq_dpi'
|
| ereturn matrix m_imse_var_dpi=`mat_imse_var_dpi'
|
| ereturn matrix m_imse_bsq_rot=`mat_imse_bsq_rot'
|
| ereturn matrix m_imse_var_rot=`mat_imse_var_rot'
|
|
|
|
|
|
|
| end
|
|
|
|
|
| program define bins_imse, eclass
|
|
|
| version 13
|
| syntax varlist(min=2 numeric ts fv) [if] [in] [fw aw pw] [, deriv(integer 0)
|
| p(integer 0) s(integer 0) nbins(integer 0) eN_sub(integer 0)
|
| binspos(string) vce(passthru) usegtools
|
| zvec(name) absorb(string asis) reghdfeopt(string asis)]
|
|
|
| preserve
|
| marksample touse
|
| qui keep if `touse'
|
|
|
| if ("`weight'"!="") local wt [`weight'`exp']
|
|
|
| tokenize `varlist'
|
| local y_var `1'
|
| local z_var `2'
|
| macro shift 2
|
| local w_var "`*'"
|
|
|
| tempvar zcat
|
| qui gen `zcat'=. in 1
|
|
|
| tempname kmat
|
|
|
| if "`binspos'"=="ES" {
|
| local stepsize=1/`nbins'
|
| forvalues i=1/`=`nbins'+1' {
|
| mat `kmat'=(nullmat(`kmat') \ `=0+`stepsize'*(`i'-1)')
|
| }
|
| }
|
| else {
|
| if (`nbins'==1) {
|
| mat `kmat'=(0 \ 1)
|
| }
|
| else {
|
| binsreg_pctile `z_var' `wt', nq(`nbins') `usegtools'
|
| mat `kmat'=(0 \ r(Q) \ 1)
|
| }
|
| }
|
|
|
| binsreg_irecode `z_var', knotmat(`kmat') bin(`zcat')
|
| `usegtools' nbins(`nbins') pos(`binspos') knotliston(T)
|
|
|
|
|
|
|
| tempvar derivfit derivse biasterm biasterm_v projbias
|
| qui gen `derivfit'=. in 1
|
| qui gen `derivse'=. in 1
|
| qui gen `biasterm'=. in 1
|
| if (`deriv'>0) qui gen `biasterm_v'=. in 1
|
| qui gen `projbias'=. in 1
|
|
|
|
|
|
|
| mata: bias("`z_var'", "`zcat'", "`kmat'", `p', 0, "`biasterm'")
|
| if (`deriv'>0) {
|
| mata: bias("`z_var'", "`zcat'", "`kmat'", `p', `deriv', "`biasterm_v'")
|
| }
|
|
|
|
|
|
|
| local nseries=(`p'-`s'+1)*(`nbins'-1)+`p'+2
|
| local series ""
|
| forvalues i=1/`nseries' {
|
| tempvar sp`i'
|
| local series `series' `sp`i''
|
| qui gen `sp`i''=. in 1
|
| }
|
|
|
| mata: binsreg_st_spdes(`zvec', "`series'", "`kmat'", st_data(.,"`zcat'"), `=`p'+1', 0, `=`s'+1')
|
|
|
| if ("`absorb'"=="") capture reg `y_var' `series' `w_var' `wt', nocon
|
| else capture reghdfe `y_var' `series' `w_var' `wt', absorb(`absorb') `reghdfeopt'
|
|
|
|
|
| tempname temp_b temp_V
|
| if (_rc==0) {
|
| matrix `temp_b'=e(b)
|
| matrix `temp_V'=e(V)
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| tempname Xm
|
|
|
| mata: `Xm'=binsreg_spdes(`zvec', "`kmat'", st_data(.,"`zcat'"), `=`p'+1', `=`p'+1', `=`s'+1');
|
| st_store(.,"`derivfit'", (binsreg_pred(`Xm', (st_matrix("`temp_b'")[|1 \ `nseries'|])',
|
| st_matrix("`temp_V'")[|1,1 \ `nseries',`nseries'|], "xb"))[,1])
|
| mata: mata drop `Xm'
|
|
|
| qui replace `biasterm'=`derivfit'*`biasterm'
|
| if (`deriv'>0) qui replace `biasterm_v'=`derivfit'*`biasterm_v'
|
| drop `series'
|
|
|
|
|
| local nseries=(`p'-`s'+1)*(`nbins'-1)+`p'+1
|
| local series ""
|
| forvalues i=1/`nseries' {
|
| tempvar sp`i'
|
| local series `series' `sp`i''
|
| qui gen `sp`i''=. in 1
|
| }
|
|
|
| mata: binsreg_st_spdes(`zvec', "`series'", "`kmat'", st_data(.,"`zcat'"), `p', 0, `s')
|
| capture reg `biasterm' `series' `wt', nocon
|
| tempname bias_b bias_V
|
| if (_rc==0) {
|
| matrix `bias_b'=e(b)
|
| matrix `bias_V'=e(V)
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| mata: `Xm'=binsreg_spdes(`zvec', "`kmat'", st_data(.,"`zcat'"), `p', `deriv', `s');
|
| st_store(.,"`projbias'", binsreg_pred(`Xm', st_matrix("`bias_b'")', st_matrix("`bias_V'"), "xb")[,1])
|
|
|
| if (`deriv'==0) {
|
| qui replace `biasterm'=(`biasterm'-`projbias')^2
|
| }
|
| else {
|
| qui replace `biasterm'=(`biasterm_v'-`projbias')^2
|
| }
|
|
|
| if ("`wt'"!="") qui sum `biasterm' [aw`exp'], meanonly
|
| else qui sum `biasterm', meanonly
|
| local m_bias=r(mean)
|
| local imse_b=`m_bias'*`nbins'^(2*(`p'+1-`deriv'))
|
|
|
|
|
| if ("`absorb'"=="") capture reg `y_var' `series' `w_var' `wt', nocon `vce'
|
| else capture reghdfe `y_var' `series' `w_var' `wt', absorb(`absorb') `vce' `reghdfeopt'
|
|
|
|
|
| if (_rc==0) {
|
| matrix `temp_b'=e(b)
|
| matrix `temp_V'=e(V)
|
| tempname vcov
|
| mata: `vcov'=st_matrix("`temp_V'")
|
| if ("`absorb'"=="") mata: `vcov'=`vcov'[|1,1 \ `nseries',`nseries'|]
|
| else {
|
| mata: `vcov'=(`vcov'[|1,1 \ `nseries', `nseries'|], `vcov'[|1,cols(`vcov') \ `nseries', cols(`vcov')|] \
|
| `vcov'[|cols(`vcov'), 1 \ cols(`vcov'), `nseries'|], `vcov'[cols(`vcov'), cols(`vcov')]);
|
| `Xm'=(`Xm', J(rows(`Xm'),1,1))
|
| }
|
| }
|
| else {
|
| error _rc
|
| exit _rc
|
| }
|
|
|
| mata: st_store(., "`derivse'", (binsreg_pred(`Xm', ., `vcov', "se")[,2]):^2)
|
| mata: mata drop `vcov'
|
|
|
| if ("`wt'"!="") qui sum `derivse' [aw`exp'], meanonly
|
| else qui sum `derivse', meanonly
|
| local m_se=r(mean)
|
| local imse_v=`m_se'/(`nbins'^(1+2*`deriv'))
|
| mata: mata drop `Xm'
|
|
|
|
|
| local J_dpi=ceil((`imse_b'*2*(`p'+1-`deriv')/
|
| (`imse_v'*(1+2*`deriv')))^(1/(2*`p'+2+1)))
|
|
|
| local imse_bsq_dpi=`imse_b'
|
| local imse_var_dpi=`imse_v'*`eN_sub'
|
|
|
| ereturn clear
|
| ereturn scalar imse_bsq=`imse_bsq_dpi'
|
| ereturn scalar imse_var=`imse_var_dpi'
|
|
|
| end
|
|
|
|
|
| version 13
|
| mata:
|
|
|
| void imse_v_cons(real scalar degree, real scalar deriv, string scalar vcons)
|
| {
|
| real scalar v_cons, m
|
| real matrix V, Vderiv
|
|
|
| m=degree+1
|
| if (deriv==0) {
|
| v_cons=m
|
| }
|
| else {
|
| V=J(m, m, .)
|
| Vderiv=J(m, m, 0)
|
|
|
| for (i=1; i<=m; i++){
|
| for (j=1; j<=i; j++) {
|
| V[i,j]=1/(i+j-1)
|
| if (i>deriv & j>deriv) {
|
| Vderiv[i,j]=1/(i+j-1-2*deriv)* |
| (factorial(i-1)/factorial(i-1-deriv))* |
| (factorial(j-1)/factorial(j-1-deriv))
|
| }
|
| }
|
| }
|
| V=makesymmetric(V)
|
| Vderiv=makesymmetric(Vderiv)
|
| v_cons=trace(invsym(V)*Vderiv)
|
| }
|
|
|
|
|
| st_numscalar(vcons,v_cons)
|
| }
|
|
|
|
|
| void imse_b_cons(real scalar degree, real scalar deriv, string scalar bcons, | real scalar s)
|
| {
|
| real scalar b_cons, m, bernum
|
| m=degree+1
|
| if (args()<4) {
|
| b_cons=1/(2*(m-deriv)+1)/factorial(m-deriv)^2/comb(2*(m-deriv), m-deriv)^2
|
| }
|
| else {
|
| if (degree==0) {
|
| bernum=1/6
|
| }
|
| else if (degree==1) {
|
| bernum=1/30
|
| }
|
| else if (degree==2) {
|
| bernum=1/42
|
| }
|
| else if (degree==3) {
|
| bernum=1/30
|
| }
|
| else if (degree==4) {
|
| bernum=5/66
|
| }
|
| else if (degree==5) {
|
| bernum=691/2730
|
| }
|
| else if (degree==6) {
|
| bernum=7/6
|
| }
|
| else {
|
| _error("p>6 not allowed.")
|
| }
|
| b_cons=1/factorial(2*(m-deriv))*bernum
|
| }
|
|
|
|
|
| st_numscalar(bcons, b_cons)
|
| }
|
|
|
|
|
| real vector bernpoly(real vector x, real scalar degree)
|
| {
|
| n=rows(x)
|
| if (degree==0) {
|
| bernx=J(n,1,1)
|
| }
|
| else if (degree==1) {
|
| bernx=x:-0.5
|
| }
|
| else if (degree==2) {
|
| bernx=x:^2-x:+1/6
|
| }
|
| else if (degree==3) {
|
| bernx=x:^3-1.5*x:^2+0.5*x
|
| }
|
| else if (degree==4) {
|
| bernx=x:^4-2*x:^3+x:^2:-1/30
|
| }
|
| else if (degree==5) {
|
| bernx=x:^5-2.5*x:^4+5/3*x:^3-1/6*x
|
| }
|
| else if (degree==6) {
|
| bernx=x:^6-3*x:^5+2.5*x:^4-0.5*x:^2:+1/42
|
| }
|
| else {
|
| _error("p is too large.")
|
| }
|
| return(bernx)
|
| }
|
|
|
|
|
| void bias(string scalar Var, string scalar Xcat, string scalar knotname,
|
| real scalar degree, real scalar deriv,
|
| string scalar biasname, | string scalar select)
|
| {
|
| if (args()<7) {
|
| X=st_data(., (Var))
|
| xcat=st_data(., (Xcat))
|
| st_view(bias=., ., (biasname))
|
| }
|
| else {
|
| X=st_data(., (Var), select)
|
| xcat=st_data(., (Xcat), select)
|
| st_view(bias=.,.,(biasname), select)
|
| }
|
| knot=st_matrix(knotname)
|
| h=knot[|2 \ length(knot)|]-knot[|1 \ (length(knot)-1)|]
|
| h=h[xcat]
|
| if (rows(h)==1) {
|
| h=h'
|
| }
|
| tl=knot[|1 \ (length(knot)-1)|]
|
| tl=tl[xcat]
|
| if (rows(tl)==1) {
|
| tl=tl'
|
| }
|
| bern=bernpoly((X-tl):/h, degree+1-deriv)/factorial(degree+1-deriv):*(h:^(degree+1-deriv))
|
| bias[.,.]=bern
|
| }
|
|
|
|
|
| void findmindex(string scalar matname, string scalar outname,
|
| real scalar J, real scalar nr)
|
| {
|
| real matrix A
|
|
|
| A=sort((abs(st_matrix(matname):-J), (1::nr)), 1)
|
| st_numscalar(outname, A[1,2])
|
| }
|
|
|
| end
|
|
|
|
|
