How to Run tstf command for intervention analysis

[Tom van Oosterhout]

I am trying to run intervention analysis with an ARIMA model
I would like to use the following command: tstf OverallInflation if n<209 & n >137, arima(1,1,2) int(185) pulse
However, I receive an error message that says: the R script did not run, see what's wrong in the file tstf_to_r.R
I find this strange because I do not use R or have never used R.
Could someone provide advice on how to effectively conduct my intervention analysis?
Here is a dataex of my data:

* Example generated by -dataex-. To install: ssc install dataex
clear
input int Year str3 Month double(OverallCPI OverallInflation FoodCPI FoodInflation NonFoodCPI NonFoodInflation) float(mdate loginflation n smooth banknote rainfall ehat OverallInflationehat res1)
2012 "Dec" 412.9 34.6 342.5 34.6  562.1 34.5 635  3.543854 138 34.399998 0 0  1.5791667   1.7480047 -1.8378342
2013 "Jan" 121.6 35.1 122.5 34.2  123.7   36 636  3.558201 139    35.225 0 1   .7791666    .9447016 -1.0427294
2013 "Feb" 129.7 37.9 136.1 38.2  126.5 37.6 637  3.634951 140     35.85 0 1   3.079167    3.241398    3.23551
2013 "Mar" 129.9 36.4 134.4 34.9  125.9 37.9 638  3.594569 141 36.024998 0 1 -1.2208333  -1.0619048 -2.6936135
2013 "Apr" 127.2 35.8 129.9 33.1  126.1 38.6 639  3.577948 142    34.675 0 1  -.3208333   -.1652079 -.22772422
2013 "May"   127   31 122.2 25.4  133.8 36.6 640  3.433987 143    31.425 0 0 -4.5208335   -4.368511  -3.991645
2013 "Jun" 122.3 27.9 112.8 23.5  133.9 32.5 641 3.3286266 144        28 0 0 -2.8208334   -2.671814 -1.3643637
2013 "Jul" 119.8 25.2 107.7 19.7    134 30.7 642  3.226844 145      25.4 0 0  -2.420833  -2.2751174 -.45695695
2013 "Aug" 119.1 23.3 105.7 17.8  134.4 28.9 643 3.1484535 146      23.5 0 0 -1.6208333  -1.4784205   -.727733
2013 "Sep"   126 21.7 117.1 19.2  137.2 24.2 644  3.077312 147    22.475 0 0 -1.3208333  -1.1817237 -.26420733
2013 "Oct" 129.1 22.2 122.2 19.4  137.8 23.9 645  3.100092 148    22.375 0 0   .7791666    .9149732  1.3043317
2013 "Nov" 135.1 22.9 131.4 21.3  140.3 24.6 646  3.131137 149    22.875 0 0   .9791667     1.11167   .9789055
2013 "Dec" 140.6 23.5 139.3   22  142.9 25.1 647     3.157 150    23.525 0 0   .8791667   1.0083668  .24031304
2014 "Jan" 153.1 25.9   152 24.1    154 30.7 648  3.254243 151    24.025 0 1  2.6791666    2.805064  2.3884115
2014 "Feb" 161.6 24.6 163.9 20.4    159 29.3 649 3.2027464 152     24.15 0 1 -1.0208334   -.8982394 -2.1360464
2014 "Mar" 161.2   24 160.7 19.6  161.4 28.9 650  3.178054 153    24.025 0 1  -.3208333   -.2015426    -.35428
2014 "Apr" 157.7 23.9 152.9 19.5  162.3 28.5 651 3.1738784 154    23.875 0 1  .17916666   .29515427   .7176606
2014 "May" 165.5 22.6 145.9 19.4  130.8 26.4 652   3.11795 155     23.75 0 0 -1.0208334   -.9081489 -1.2221485
2014 "Jun" 149.9 22.5 135.2 19.9  164.4 25.7 653 3.1135154 156      23.7 0 0  .17916666   .28854796   .6004669
2014 "Jul" 146.6 22.3 129.6 20.3  163.4 24.9 654 3.1045866 157      23.7 0 0  .07916667    .1852448   .2083851
2014 "Aug" 148.3 24.5 131.1   24  165.4 25.8 655  3.198673 158      23.7 0 0   2.479167   2.5819416  2.3356376
2014 "Sep" 155.9 23.7 143.7 22.7    168 25.4 656  3.165475 159      23.7 0 0  -.5208333   -.4213615 -1.3072298
2014 "Oct" 159.2 23.3 148.5 21.5  169.8 25.6 657 3.1484535 160      23.7 0 0 -.12083333 -.024664655  -.4591624
2014 "Nov" 167.1 23.7 159.4 21.3  174.6 26.7 658  3.165475 161      23.7 0 0   .6791667    .7720322   1.149288
2014 "Dec" 174.5 24.2 170.1 22.1  178.8 27.2 659  3.186353 162    23.075 0 0   .7791666    .8687291   .3352031
2015 "Jan" 185.6 21.2 184.7 21.5  186.1 20.8 660  3.054001 163     21.45 0 1  -2.720833   -2.634574  -2.962748
2015 "Feb" 193.5 19.7   195   19  191.6 20.4 661  2.980619 164     19.85 0 1 -1.2208333  -1.1378772  -.4468955
2015 "Mar" 190.5 18.2 188.1   17  192.6 19.3 662 2.9014215 165    19.025 0 1 -1.2208333  -1.1411804 -.10337662
2015 "Apr" 187.4 18.8 180.6 18.1  193.9 19.5 663  2.933857 166 18.974998 0 1   .8791667    .9555165  1.1593035
2015 "May" 186.1 19.5 177.1 21.4  194.9 17.8 664 2.9704144 167    19.775 0 0   .9791667   1.0522133  1.0621831
2015 "Jun" 181.7 21.3   168 24.2  195.3 18.8 665  3.058707 168    21.075 0 0  2.0791667     2.14891  1.3315547
2015 "Jul" 179.1 22.2 162.4 25.3  195.6 19.6 666  3.100092 169    22.175 0 0  1.1791667    1.245607    .554446
2015 "Aug" 182.4   23 166.3 26.8  198.3 19.9 667  3.135494 170    23.075 0 0  1.0791667   1.1423038    .175477
2015 "Sep" 193.5 24.1   183 27.3  203.8 21.3 668  3.182212 171     23.95 0 0  1.3791667   1.4390007  1.1130346
2015 "Oct" 198.5 24.7 190.5 28.3  206.2 21.4 669  3.206803 172    24.475 0 0   .8791667    .9356975  .09712333
2015 "Nov" 208.2 24.6 205.5 28.9  210.5 20.6 670 3.2027464 173      24.6 0 0  .17916666   .23239437 -.16191384
2015 "Dec" 217.9 24.9 219.7 29.2  215.8 20.7 671  3.214868 174    24.325 0 0  .57916665    .6290912   .3374279
2016 "Jan" 229.2 23.5 237.3 28.4  220.5 18.5 672     3.157 175     23.75 0 1 -1.1208333   -1.074212 -1.1896832
2016 "Feb" 238.6 23.4 250.8 28.6    226 17.9 673  3.152736 176    23.375 0 1  .17916666    .2224849  .36166435
2016 "Mar" 232.5 22.1 237.8 26.5  226.8 17.8 674  3.095578 177        23 0 1 -1.0208334   -.9808183  -.6754782
2016 "Apr" 226.6 20.9 224.6 24.3  228.4 17.7 675  3.039749 178     22.45 0 1  -.9208333   -.8841214  -.8467293
2016 "May"   226 21.5 222.5 25.7  229.3 17.6 676  3.068053 179 22.300003 0 0   .8791667    .9125754  1.6336147
2016 "Jun" 222.9 22.6 214.6 27.7  230.9 18.2 677   3.11795 180     22.55 0 0  1.3791667   1.4092723   .9921772
2016 "Jul" 221.1 23.5 209.8 29.2  232.1 18.7 678     3.157 181     22.75 0 0  1.1791667    1.205969   .6445929
2016 "Aug" 223.9 22.8 214.1 28.7  233.5 17.8 679 3.1267605 182      22.4 0 0  -.4208333    -.397334 -1.0995753
2016 "Sep" 234.4 21.2 232.3   27  236.2 15.9 680  3.054001 183    21.325 0 0 -1.3208333   -1.300637 -1.1931074
2016 "Oct" 238.3 20.1 238.9 25.4  237.4 15.2 681   3.00072 184     20.35 0 0  -.8208333   -.8039403 -.28367758
2016 "Nov" 249.7 19.9 256.5 24.8  242.4 15.2 682   2.99072 185        20 0 0  .07916667   .09275654   .6497778
2016 "Dec" 261.4   20 273.4 24.4    249 15.4 683  2.995732 186      19.5 1 0  .54347825    .3894534    .348541
2017 "Jan" 270.7 18.2 287.3 21.1  253.4   15 684 2.9014215 187      18.1 1 1 -1.3565217  -1.5138497 -1.6064032
2017 "Feb" 277.1 16.1 294.8 17.5    259 14.6 685  2.778819 188 16.550001 1 1 -1.6565218   -1.817153 -1.4002457
2017 "Mar" 269.3 15.8 278.3   17  259.8 14.5 686   2.76001 189    15.575 1 1  .14347826  -.02045607  1.0343033
2017 "Apr" 259.7 14.6 257.6 14.7  261.4 14.5 687 2.6810215 190    14.325 1 1  -.7565218   -.9237592  -.7890332
2017 "May" 253.9 12.3 247.4 11.2 260.16 13.5 688  2.509599 191    12.625 1 0 -1.8565217  -2.0270624  -1.706327
2017 "Jun" 248.1 11.3 234.4  9.3  261.5 13.2 689  2.424803 192    11.275 1 0  -.5565217   -.7303655  .16750912
2017 "Jul" 243.6 10.2 225.4  7.4  261.5 12.7 690 2.3223877 193     10.25 1 0  -.6565217   -.8336686 -.21772502
2017 "Aug" 244.8  9.3 227.4  6.2  261.9 12.2 691 2.2300143 194       9.3 1 0 -.45652175   -.6369718  -.3826519
2017 "Sep" 254.2  8.4 244.3  5.1  263.8 11.6 692 2.1282318 195       8.6 1 0 -.45652175    -.640275 -.16336496
2017 "Oct"   258  8.3 250.4  4.8  265.3 11.7 693 2.1162555 196  8.275001 1 0   .3434783   .15642187   .3860808
2017 "Nov"   269  7.7 268.5  4.7  269.1   11 694 2.0412204 197  8.075001 1 0 -.15652174   -.3468813 -.20227936
2017 "Dec" 279.9  7.1 285.2  4.3  274.1   10 695 1.9600948 198     7.875 1 0 -.15652174   -.3501844  -.3452058
2018 "Jan"     0  8.1     0  7.6      0  9.6 696  2.091864 199     7.875 1 1  1.4434782   1.2465124   1.582055
2018 "Feb" 106.8  7.8 110.9  7.3  103.3  9.4 697 2.0541236 200     8.175 1 1  .14347826  -.05679074  -.5092982
2018 "Mar" 105.8  9.9 107.9 10.6    104  9.7 698 2.2925348 201       8.6 1 1   2.543478   2.3399062  2.2059016
2018 "Apr" 101.8  9.7  99.3   10  103.9  8.9 699  2.272126 202      8.85 1 1  .24347825   .03660295  -.6424274
2018 "May" 101.2  8.9  97.7  9.5  104.1  8.4 700 2.1860514 203  8.924999 1 0  -.3565217   -.5667002 -1.0424443
2018 "Jun"   101  8.6  96.5  9.1  104.6  8.2 701 2.1517622 204     8.975 1 0  .14347826  -.07000335   .4341835
2018 "Jul" 101.6    9  97.5  9.5    105  8.7 702 2.1972246 205     9.075 1 0   .8434783    .6266935   .6641505
2018 "Aug"   103  9.3 100.1 10.1  105.5  8.7 703 2.2300143 206     9.275 1 0   .7434782   .52339035   .3886841
2018 "Sep" 105.1  9.5 103.7 10.2  106.2  8.9 704 2.2512918 207       9.5 1 0   .6434783    .4200872  .13669455
2018 "Oct" 107.1  9.7 106.2 10.4  107.8  9.2 705  2.272126 208      9.65 1 0   .6434783   .41678405   .3053626
end
format %tm mdate

Thanks in advance!

[Tom van Oosterhout]

Here is a simpler dataex:

* Example generated by -dataex-. To install: ssc install dataex
clear
input double OverallInflation float(banknote n)
34.6 0 138
35.1 0 139
37.9 0 140
36.4 0 141
35.8 0 142
  31 0 143
27.9 0 144
25.2 0 145
23.3 0 146
21.7 0 147
22.2 0 148
22.9 0 149
23.5 0 150
25.9 0 151
24.6 0 152
  24 0 153
23.9 0 154
22.6 0 155
22.5 0 156
22.3 0 157
24.5 0 158
23.7 0 159
23.3 0 160
23.7 0 161
24.2 0 162
21.2 0 163
19.7 0 164
18.2 0 165
18.8 0 166
19.5 0 167
21.3 0 168
22.2 0 169
  23 0 170
24.1 0 171
24.7 0 172
24.6 0 173
24.9 0 174
23.5 0 175
23.4 0 176
22.1 0 177
20.9 0 178
21.5 0 179
22.6 0 180
23.5 0 181
22.8 0 182
21.2 0 183
20.1 0 184
19.9 0 185
  20 1 186
18.2 1 187
16.1 1 188
15.8 1 189
14.6 1 190
12.3 1 191
11.3 1 192
10.2 1 193
 9.3 1 194
 8.4 1 195
 8.3 1 196
 7.7 1 197
 7.1 1 198
 8.1 1 199
 7.8 1 200
 9.9 1 201
 9.7 1 202
 8.9 1 203
 8.6 1 204
   9 1 205
 9.3 1 206
 9.5 1 207
 9.7 1 208
end

[Justin Niakamal]

See William Lisowski 's explanation in post #6 here.

[William Lisowski]

I am trying to run intervention analysis with an ARIMA model
I would like to use the following command: tstf OverallInflation if n<209 & n >137, arima(1,1,2) int(185) pulse
However, I receive an error message that says: the R script did not run, see what's wrong in the file tstf_to_r.R
I find this strange because I do not use R or have never used R.

For others who find this topic, if you run search tstf to locate and install this package, we see in the output of the search command

1 package found (Stata Journal and STB listed first)
----------------------------------------------------

tstf from http://fmwww.bc.edu/RePEc/bocode/t
    'TSTF': module to compute intervention time-series models / tstf fits
    intervention time-series models. The command tstf is / a wrapper for the
    arimax package in R. Therefore R needs to be / installed.  / KW: time
    series / KW: intervention / KW: transfer function / Requires: Stata

My thanks to Justin Blasongame for linking to my long-forgotten post on this topic.

[Tom van Oosterhout]

I have now download R but am unsure how to proceed. I try running the command in stata but get the same error code. Do you know the next step I need to take?

[William Lisowski]

Everything I know about this was expressed in the topic to which post #3 above linked. If you have followed the process discussed in the linked posts, there is nothing further I can add.