fcast command destroys data set

[Alexander Olesen]

Hey statalist!

I am working on an assignment where I try to explain stock returns by changes in oil prices. For this purpose, I use the SVAR model. I have identified the model by using cholesky decomposition. For now, I will compute the forecast for the variables in the model. However, when using the fcast command in stata. My data set gets destroyed. I have uploaded a photo of my command and the data set after the execution of the fcast command. Before i execute the command, my dataset looks normal with 118 observation running from 2013 to 2022. Can anyone see what I am doing wrong?

Best regards
Alexander

[William Lisowski]

Your question really isn't clear without more detail, or at a minimum it is too difficult to guess at a good answer from what you have shared. Please help us help you by providing sufficient information to reproduce your problem.

Most importantly, stop showing pictures of code and data. Please take a few moments to review the Statalist FAQ linked to from the top of the page, as well as from the Advice on Posting link on the page you used to create your post. Note especially sections 9-12 on how to best pose your question. It is particularly helpful to copy commands and output from your Stata Results window and paste them into your Statalist post using code delimiters [CODE] and [/CODE], and to use the dataex command to provide sample data, as described in section 12 of the FAQ.

Show example data using the dataex command after you have created your numeric values.

dataex qdate clcrudeoil-cinterestrate, count(120)

Show your code by copying it from the Do-file Editor window and pasting it into your Statalist post using CODE delimiters as explained in the FAQ.

[Carlo Lazzaro]

Alexander:
as an aside to William's helpful advice, please take duly note of https://www.statalist.org/forums/help#adviceextras #4. Thanks.

[Alexander Olesen]

Thanks for the answers! I'm a new user to both Stata and Statalist, so I apologize for the lack of information I provided. I will give it another try.
I'm trying to forecast the variables in an SVAR model and afterwards make a graph. I have identified the model and used the 'fcast compute' function in Stata 17.0 to forecast. When I do that, I get error r(198). When I look at the data set after running 'fcast compute' I see that there are no observations of the variables I include in the 'fcast graph' code. All codes are illustrated below.

clear
clear results
log using example1.log, replace

//Load K&L ch2 data
import delimited "data.white.noise.csv", rowrange(2:119) clear

destring v2, dpcomma force generate(clcrudeoil)
destring v3, dpcomma force generate(dax)
destring v4, dpcomma force generate(ftse)
destring v6, dpcomma force generate(eurostocks)
destring v10, dpcomma force generate(mscieuropeenergy)
destring v11, dpcomma force generate(cinterestrate)

gen qdate=date(v1,"DMY")
format qdate %tq
tsset qdate
tsreport

dataex qdate clcrudeoil-cinterestrate, count(120)

//Estimate SVAR(4) with Cholesky
matrix A = (.,0,0,0,0,0\.,.,0,0,0,0\.,.,.,0,0,0\.,.,.,.,0,0\.,.,.,.,.,0\.,.,.,.,.,.)
matrix B = (1,0,0,0,0,0\0,1,0,0,0,0\0,0,1,0,0,0\0,0,0,1,0,0\0,0,0,0,1,0\0,0,0,0,0,1)
svar cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy, lags(1 2 3 4 5 6) aeq(A) beq(B)
matlist e(A)
matlist e(B)


fcast compute f_, step(6)
fcast graph f_cinterestrate f_clcrudeoil f_dax f_ftse f_eurostocks f_mscieuropeenergy


log close

Prior to point where I used the 'fcast compute' function, my data set looked as follows. In the data set, I have more variables in the set which I do not use as input in the SVAR model.

* Example generated by -dataex-. For more info, type help dataex
clear
input double clcrudeoil str12 v3 double dax str12 v4 double ftse str12(v5 v6) double eurostocks str12(v7 v8 v9 v10) double mscieuropeenergy str7 v11 double cinterestrate
 .054747398 "0,006924836"   .006924836 "0,008006842"   .008006842 "0,002261617"  "-0,00361869"   -.00361869 "-0,037702149" "-0,036588208" "0,022230053"  "0,005952803"   .005952803 "-0,032" -.032
-.039545769 "0,01518862"     .01518862 "0,002866617"   .002866617 "0,033587749"  "0,033528708"   .033528708 "0,063005051"  "0,093159012"  "0,009451307"  "0,008946812"   .008946812 "-0,003" -.003
  -.0160711 "0,054984325"   .054984325 "0,023789603"   .023789603 "0,023812796"  "0,021253687"   .021253687 "-0,011687849" "0,02662387"   "0,034121631"  "0,008378718"   .008378718 "-0,013" -.013
  .04870214 "-0,046667561" -.046667561 "-0,055843077" -.055843077 "-0,0531025"   "-0,060314698" -.060314698 "-0,067050453" "-0,114720043" "-0,051708955" "-0,058786872" -.058786872 "-0,007" -.007
 .084081447 "0,039796613"   .039796613 "0,06525492"     .06525492 "0,067875397"  "0,063613554"   .063613554 "0,08640035"   "0,081570127"  "0,073188427"  "0,03648937"     .03648937 "0,012"   .012
   .0246392 "-0,020882144" -.020882144 "-0,031434544" -.031434544 "-0,014754464" "-0,016899373" -.016899373 "-0,01694453"  "0,012125698"  "-0,018604148" "0,009369011"   .009369011 "-0,005" -.005
-.050682339 "0,060624572"   .060624572 "0,007686034"   .007686034 "0,053297337"  "0,063122618"   .063122618 "0,10802726"   "0,045116924"  "0,033036674"  "-0,001336052" -.001336052 "0,005"   .005
-.059904174 "0,051140277"   .051140277 "0,041659058"   .041659058 "0,037758481"  "0,060418575"   .060418575 "0,078575239"  "0,109932629"  "0,045343007"  "0,042951697"   .042951697 "0,01"     .01
-.038714512 "0,041109507"   .041109507 "-0,012012306" -.012012306 "-0,0010884"   "0,006092016"   .006092016 "-0,007095348" "-0,017054991" "0,011813635"  "-0,008236565" -.008236565 "0,016"   .016
 .059659836 "0,0156146"       .0156146 "0,014813768"   .014813768 "0,000172285"  "0,007244123"   .007244123 "0,008040579"  "-0,002826804" "0,01321397"   "0,014431586"   .014431586 "-0,038" -.038
-.009494227 "-0,025719837" -.025719837 "-0,035360323" -.035360323 "-0,030314599" "-0,030569315" -.030569315 "0,00035294"   "0,023757744"  "-0,037183603" "-0,04301436"   -.04301436 "0,02"     .02
 .050990653 "0,041433496"   .041433496 "0,045966171"   .045966171 "0,058179618"  "0,044881153"   .044881153 "0,019556057"  "0,052737258"  "0,030218431"  "0,053642802"   .053642802 "0,01"     .01
-.009893797 "-0,014049616" -.014049616 "-0,031033673" -.031033673 "-0,003761275" "0,003927944"   .003927944 "0,022374483"  "0,061123419"  "0,01171777"   "0,000665513"   .000665513 "-0,013" -.013
-.018279865 "0,004951909"   .004951909 "0,027531042"   .027531042 "0,021835364"  "0,011636513"   .011636513 "0,011459794"  "0,004216316"  "-0,006597059" "0,063913275"   .063913275 "-0,01"   -.01
 .029342683 "0,03540892"     .03540892 "0,009510282"   .009510282 "0,007171206"  "0,014447894"   .014447894 "0,032479205"  "-0,007054461" "0,016627138"  "0,005250985"   .005250985 "0,021"   .021
 .025568482 "-0,011082873" -.011082873 "-0,014693528" -.014693528 "-0,021402479" "-0,005042224" -.005042224 "0,011556947"  "-0,016027954" "0,014587068"  "0,036191779"   .036191779 "-0,023" -.023
-.070777296 "-0,043281498" -.043281498 "-0,00205073"   -.00205073 "-0,039951705" "-0,034919956" -.034919956 "-0,019801346" "-0,03346469"  "-0,021444996" "-0,040808978" -.040808978 "-0,008" -.008
-.022769232 "0,006663846"   .006663846 "0,013319247"   .013319247 "0,031770031"  "0,018334077"   .018334077 "0,002017334"  "-0,005848581" "0,021865493"  "0,009384972"   .009384972 "0,008"   .008
-.051315234 "0,000436106"   .000436106 "-0,028891088" -.028891088 "0,008034622"  "0,016799942"   .016799942 "0,009013124"  "0,021594593"  "0,01938857"   "-0,021570694" -.021570694 "0"          0
-.123862249 "-0,015561044" -.015561044 "-0,011513396" -.011513396 "-0,041471931" "-0,034907763" -.034907763 "-0,032118609" "-0,053040119" "-0,023317662" "-0,073487488" -.073487488 "-0,013" -.013
end

------------------ copy up to and including the previous line ------------------

Listed 20 out of 118 observations



After I run the 'fcast compute' command, My data look as

* Example generated by -dataex-. For more info, type help dataex
clear
input double clcrudeoil str12 v3 double dax str12 v4 double ftse str12(v5 v6) double eurostocks str12(v7 v8 v9 v10) double mscieuropeenergy str7 v11 double cinterestrate
 .054747398 "0,006924836"   .006924836 "0,008006842"   .008006842 "0,002261617"  "-0,00361869"   -.00361869 "-0,037702149" "-0,036588208" "0,022230053"  "0,005952803"   .005952803 "-0,032" -.032
-.039545769 "0,01518862"     .01518862 "0,002866617"   .002866617 "0,033587749"  "0,033528708"   .033528708 "0,063005051"  "0,093159012"  "0,009451307"  "0,008946812"   .008946812 "-0,003" -.003
  -.0160711 "0,054984325"   .054984325 "0,023789603"   .023789603 "0,023812796"  "0,021253687"   .021253687 "-0,011687849" "0,02662387"   "0,034121631"  "0,008378718"   .008378718 "-0,013" -.013
  .04870214 "-0,046667561" -.046667561 "-0,055843077" -.055843077 "-0,0531025"   "-0,060314698" -.060314698 "-0,067050453" "-0,114720043" "-0,051708955" "-0,058786872" -.058786872 "-0,007" -.007
 .084081447 "0,039796613"   .039796613 "0,06525492"     .06525492 "0,067875397"  "0,063613554"   .063613554 "0,08640035"   "0,081570127"  "0,073188427"  "0,03648937"     .03648937 "0,012"   .012
   .0246392 "-0,020882144" -.020882144 "-0,031434544" -.031434544 "-0,014754464" "-0,016899373" -.016899373 "-0,01694453"  "0,012125698"  "-0,018604148" "0,009369011"   .009369011 "-0,005" -.005
-.050682339 "0,060624572"   .060624572 "0,007686034"   .007686034 "0,053297337"  "0,063122618"   .063122618 "0,10802726"   "0,045116924"  "0,033036674"  "-0,001336052" -.001336052 "0,005"   .005
-.059904174 "0,051140277"   .051140277 "0,041659058"   .041659058 "0,037758481"  "0,060418575"   .060418575 "0,078575239"  "0,109932629"  "0,045343007"  "0,042951697"   .042951697 "0,01"     .01
-.038714512 "0,041109507"   .041109507 "-0,012012306" -.012012306 "-0,0010884"   "0,006092016"   .006092016 "-0,007095348" "-0,017054991" "0,011813635"  "-0,008236565" -.008236565 "0,016"   .016
 .059659836 "0,0156146"       .0156146 "0,014813768"   .014813768 "0,000172285"  "0,007244123"   .007244123 "0,008040579"  "-0,002826804" "0,01321397"   "0,014431586"   .014431586 "-0,038" -.038
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
          . ""                       . ""                       . ""             ""                       . ""             ""             ""             ""                       . ""           .
end

------------------ copy up to and including the previous line ------------------

Listed 20 out of 3303 observations



I also notice that I now have 3303 observation, instead of the original 118. My purpose of the first code i illustrated, is to forecast and graph the forecasts. I hope this make sense to you. Otherwise, please let me know. Thank you!

Alexander

[William Lisowski]

That is very close to what is wanted, thank you - you are a quick study.

We both made mistakes on the dataex command.

I did not realize that destring would order the created variable immediately following the one that it was created from. So the destring command I should have requested was

dataex qdate cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy, count(120)

which - in my defense - is what I wanted to write, but wasn't sure I'd get it typed correctly since I couldn't copy and paste from the displayed code.

The output you provided does not include qdate and includes only 20 out of 118 observations rather than the full 118 observations. (Specifying 120 instead of 118 was a small trap on my part to be sure there actually were exactly 118 observations. I take nothing for granted. ) I think perhaps the command you showed isn't the command you ran.

So if you were to run and post the output of the dataex command above, I'd be able to recreate your experience and I hope figure out what you are seeing.

[Alexander Olesen]

Yes I see I made a mistake! I have corrected it now. The output of the dataex command is shown below.

* Example generated by -dataex-. For more info, type help dataex
clear
input float qdate double(cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy)
19361  -.032  .054747398  .006924836  .008006842  -.00361869  .005952803
19362  -.003 -.039545769   .01518862  .002866617  .033528708  .008946812
19363  -.013   -.0160711  .054984325  .023789603  .021253687  .008378718
19364  -.007   .04870214 -.046667561 -.055843077 -.060314698 -.058786872
19365   .012  .084081447  .039796613   .06525492  .063613554   .03648937
19366  -.005    .0246392 -.020882144 -.031434544 -.016899373  .009369011
19367   .005 -.050682339  .060624572  .007686034  .063122618 -.001336052
19368    .01 -.059904174  .051140277  .041659058  .060418575  .042951697
19369   .016 -.038714512  .041109507 -.012012306  .006092016 -.008236565
19370  -.038  .059659836    .0156146  .014813768  .007244123  .014431586
19724    .02 -.009494227 -.025719837 -.035360323 -.030569315  -.04301436
19725    .01  .050990653  .041433496  .045966171  .044881153  .053642802
19726  -.013 -.009893797 -.014049616 -.031033673  .003927944  .000665513
19727   -.01 -.018279865  .004951909  .027531042  .011636513  .063913275
19728   .021  .029342683   .03540892  .009510282  .014447894  .005250985
19729  -.023  .025568482 -.011082873 -.014693528 -.005042224  .036191779
19730  -.008 -.070777296 -.043281498  -.00205073 -.034919956 -.040808978
19731   .008 -.022769232  .006663846  .013319247  .018334077  .009384972
19732      0 -.051315234  .000436106 -.028891088  .016799942 -.021570694
19733  -.013 -.123862249 -.015561044 -.011513396 -.034907763 -.073487488
19734   .038 -.196829065  .070117842  .026907631  .044200403 -.078495726
19735  -.018  -.21655157 -.017563634 -.023284077 -.032144648 -.018921125
20089   -.02 -.099184769  .090639485   .02791768  .065156384  .021479353
20090   .013  .031022896  .066141653  .029226302  .073866756  .090256182
20091      0 -.044378687  .049511212 -.024993306  .027335371 -.043123939
20092  -.021  .225326042 -.042769742  .027696573  -.02212107  .076366217
20093   .011  .011173301 -.003541004  .003419231 -.012393551 -.039891863
20094 -.0105  -.01386012 -.041077396 -.066354735  -.04102185  -.05981732
20095  .0335 -.232774444  .033259114  .026882462  .051511258 -.002629657
20096  -.028  .043196084 -.092804928 -.066953592 -.091943489 -.104584737
20097 -.0132 -.087233131 -.058387089  -.02982263 -.051675572 -.070914445
20098  .0182  .032725433  .123151741  .049406016  .102416574  .122105819
20099   .096 -.112084557   .04903992 -.000786029  .025808679  .022046132
20100   .028 -.117302959  -.05615947 -.017899369 -.068140142 -.112151685
20454   .092 -.096877282 -.087954866 -.025396007 -.068073034 -.018070206
20455    .01  .003859289 -.030894734  .002186137  -.03262301  .009509554
20456  -.062   .12751332  .049509236  .012761826   .02008996  .000261666
20457  -.007  .180407014  .007371424  .010848759  .007747269  .079700035
20458    .03  .066958283  .022290135 -.001778308  .011647145 -.030689711
20459   -.01 -.015806549 -.056773337  .043901335 -.064873934  .085319113
20460  -.008 -.149952319  .067913625  .033838996  .043990031 -.040764625
20461   .087  .071873334  .024685852  .008488452  .010823336 -.014005602
20462  -.064  .076215051 -.007710034  .017373712 -.006910057  .006493506
20463  -.023 -.029024119  .014650338  .007955845  .017656816  .029758065
20464   .191   .05359538 -.002316922 -.024507421 -.001191392  .032265643
20465   .053  .083025559  .079016569  .052926167  .078289821  .100978681
20820   .048 -.017084805  .004725173 -.006115223 -.018185576 -.055264609
20821  -.066  .022468648  .025929082  .023142207  .027526713 -.012035011
20822   .335 -.065217638  .040429561  .008188957  .054620874  .012033961
20823  -.066 -.025419161  .010163349 -.016247617  .016755548 -.025459586
20824   .195 -.020686862  .014234592  .043866273 -.001404656  .006138184
20825  -.028  -.04833497  -.02298364 -.027557364 -.031708298 -.056543412
20826   .143  .085906655 -.016784421  .008106423  .002173231  .015298478
20827  -.044 -.060387955 -.005150084  .007951709 -.008085558 -.018097087
20828   .011  .089848058  .064119962 -.007786699  .050674125  .085745926
20829    .03  .051119097  .031235043  .016319533    .0220037  .054932245
20830   .155  .054047864 -.015540188 -.022208491 -.028312851 -.018508287
20831   .127  .051275873 -.008164939  .049285692 -.018479354   .02265691
21185   .201  .068904597  .021044092 -.020060434  .030060275  .005366726
21186   .045 -.048913762  -.05713872 -.040039556 -.047192107 -.047289899
21187   .114  .052152756 -.027269547 -.024239793 -.022524252 -.004166367
21188   .003  .054391355  .042604902    .0641512  .052066042  .127461588
21189   .122 -.022565665 -.000572466   .02249211 -.036722541  .023928343
21190   .013  .100800612 -.023712226 -.005374958 -.003243656  .004873782
21191   .139 -.075467888  .040589956  .014643319  .038252444  .007275215
21192   .036  .015011829 -.034472688 -.040824596 -.037608956 -.038273968
21193   .178  .048244238 -.009489601  .010464963  .001856819  .054047115
21194   .082 -.114733084 -.065259869 -.050877473 -.059334549 -.049144388
21195   .113 -.248693023 -.016621082 -.020743256 -.007624683 -.067055207
21196   .128 -.114719796 -.062029414 -.036117669 -.054113761 -.051005698
21550  -.038  .169355231  .058162925  .035778143  .052645081  .064163773
21551   .018  .061815911  .030657561  .015193325   .04394147  .027122561
21552   .037   .04977169   .00090312  .028900043  .016205514  .020582396
21553  -.023  .060800666  .070973205  .019099653   .04860504  .002464172
21554  -.066  -.17779419 -.050002916 -.034578376 -.066633093 -.053043535
21555  -.181  .088832148  .057301029  .036851534  .058913008  .029988387
21556  -.187  .001879539 -.016917766  .021701862 -.001969088   -.0155193
21557   .098 -.061243625 -.020490539 -.050034402 -.011563812 -.082794395
21558  -.146 -.018870213  .040940492  .027893018  .041639916  .062724936
21559    -.4  .002032333  .035299902 -.021574712  .009794226 -.025571912
21560   .105  .018107491  .028724336  .013540957  .027513518   -.0000709
21561  -.174   .10143766  .000954188  .026667012  .011224275  .017094623
21915    .09 -.169110809 -.020155468 -.033998282 -.027833331 -.077062557
21916  -.124 -.141431295 -.084087392 -.096815678 -.085533562 -.153846154
21917 -1.406 -.781866083 -.164377836 -.138079904 -.162964899 -.156724415
21918   .051 -.083466531  .093177829  .040418127  .050604614 -.036429101
21919    .04  .633268698  .066768002  .029721023  .041759878 -.035388504
21920      0  .101209902  .062491531   .01532765  .060281293 -.000455737
21921  -.033  .025145906  .000197386 -.044082895 -.018475172 -.088681181
21922   -.01  .056482193  .051327988  .011158474  .030932609  .021013133
21923  -.012 -.057724583 -.014263776 -.016344237 -.024109934 -.125444077
21924    .01  -.11669586  -.09437156 -.049237142 -.073709689 -.069897745
21925  -.003   .23652112   .15010453  .123522799  .180626122  .328915663
21926  -.025  .067786439  .032173264  .031012465  .017208106  .019832276
22281      0  .073106411 -.020840774 -.008212961 -.020041434  .020224469
22282  -.026   .16395468  .026310089  .011856492  .044521807   .09846422
22283  -.017 -.038791537  .088642412  .035505897  .077760117  .014179474
22284  -.003  .072053318  .008499941  .038158195  .014168672 -.035979664
22285  -.005  .042192555  .018843928  .007575529  .016282826   .02484787
22286   .043  .102385649  .007127234  .002116022  .006149337  .030677882
22287  -.002   .00651203  .000859569 -.000734639  .006151121 -.033605377
22288  -.011 -.076555444  .018701281  .012428366  .026192747  .014803775
22289   .018  .091054288  -.03627387 -.004674354  -.03534688  .127178383
22290   .003   .10779657  .028051156  .021329529  .050018774   .03595935
22291    .05 -.233306302 -.037519831  -.02461047 -.044111835  -.07042844
22292   -.05  .127905898  .051968427   .04605033  .057924323  .054388022
22646  -.015  .158755708 -.026041149  .010810423 -.028803674  .130025663
22647    .02  .082387354 -.065294224 -.000819895 -.059974608 -.014988645
22648   .086   .04653901 -.003199636  .007700198 -.005532296  .050107593
22649   .223  .043037329 -.021982344  .003841302 -.025537345  .034543326
22650    .35  .091054836  .020603807  .008364979 -.003589404  .102716469
22651   .358 -.080886062 -.111519389 -.057623501  -.08823739 -.110469592
22652  1.111 -.069898295  .054778833  .035449864  .073299642  .034833405
22653   .147 -.096476952 -.048137614 -.018762216 -.051468407  .027597742
22654   .402 -.119165901 -.056143533 -.053587584 -.056592508 -.052967107
22655   .892  .084859947  .094052018  .029115975   .09021156  .119521627
22656    .33 -.071488926  .086262444  .067449147  .095971295   .04464914
22657   .044 -.001117804 -.032885232 -.016018645 -.043155633 -.060131039
end
format %tq qdate

------------------ copy up to and including the previous line ------------------

Listed 118 out of 118 observations


With the corresponding code I ran.

clear
clear results
log using example1.log, replace

//Load K&L ch2 data
import delimited "data.white.noise.csv", rowrange(2:119) clear

destring v2, dpcomma force generate(clcrudeoil)
destring v3, dpcomma force generate(dax)
destring v4, dpcomma force generate(ftse)
destring v6, dpcomma force generate(eurostocks)
destring v10, dpcomma force generate(mscieuropeenergy)
destring v11, dpcomma force generate(cinterestrate)

gen qdate=date(v1,"DMY")
format qdate %tq
tsset qdate
tsreport

dataex qdate cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy, count(120)

//Estimate SVAR(4) with Cholesky
matrix A = (.,0,0,0,0,0\.,.,0,0,0,0\.,.,.,0,0,0\.,.,.,.,0,0\.,.,.,.,.,0\.,.,.,.,.,.)
matrix B = (1,0,0,0,0,0\0,1,0,0,0,0\0,0,1,0,0,0\0,0,0,1,0,0\0,0,0,0,1,0\0,0,0,0,0,1)
svar cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy, lags(1 2 3 4 5 6) aeq(A) beq(B)
matlist e(A)
matlist e(B)


fcast compute f_, step(6)
fcast graph f_cinterestrate f_clcrudeoil f_dax f_ftse f_eurostocks f_mscieuropeenergy


log close

Thanks a lot for the help! I really appreciate it.

[William Lisowski]

Your problem is not anything I anticipated. It is clear that you lack a thorough understanding of Stata dates and times.

Stata's "date and time" variables are complicated and there is a lot to learn. If you have not already read the very detailed Chapter 24 (Working with dates and times) of the Stata User's Guide PDF, do so now. If you have, it's time for a refresher. After that, the help datetime documentation will usually be enough to point the way. You can't remember everything; even the most experienced users end up referring to the help datetime documentation or back to the manual for details. But at least you will get a good understanding of the basics and the underlying principles. An investment of time that will be amply repaid.

All Stata manuals are included as PDFs in the Stata installation and are accessible from within Stata - for example, through the PDF Documentation section of Stata's Help menu.

In the code below, I start with a dataex of your data where I have reconstructed the original v1 string variable. I then go though your creation of qdate from v1 and show that Stata gave you in the output of tsset and tsreport sufficient information to inform you that the results were not correct. (Had you included in your original post the output copied from Stata's Results window you would have had this answer in post #2, but I didn't expect so obvious a problem.) I next drop qdate and create a Stata monthly date mdate. The listed observations and the the output of tsset and tsreport show that mdate is what you need for svar. The results of svar are what I would have expected. There are now 6 additional observations with values for mdate (2023m1 to 2023m6) and values for all the created f_ variables.

* Example generated by -dataex-. For more info, type help dataex
clear
input str10 v1 double(cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy)
"03.01.2013"  -.032  .054747398  .006924836  .008006842  -.00361869  .005952803
"04.01.2013"  -.003 -.039545769   .01518862  .002866617  .033528708  .008946812
"05.01.2013"  -.013   -.0160711  .054984325  .023789603  .021253687  .008378718
"06.01.2013"  -.007   .04870214 -.046667561 -.055843077 -.060314698 -.058786872
"07.01.2013"   .012  .084081447  .039796613   .06525492  .063613554   .03648937
"08.01.2013"  -.005    .0246392 -.020882144 -.031434544 -.016899373  .009369011
"09.01.2013"   .005 -.050682339  .060624572  .007686034  .063122618 -.001336052
"10.01.2013"    .01 -.059904174  .051140277  .041659058  .060418575  .042951697
"11.01.2013"   .016 -.038714512  .041109507 -.012012306  .006092016 -.008236565
"12.01.2013"  -.038  .059659836    .0156146  .014813768  .007244123  .014431586
"01.01.2014"    .02 -.009494227 -.025719837 -.035360323 -.030569315  -.04301436
"02.01.2014"    .01  .050990653  .041433496  .045966171  .044881153  .053642802
"03.01.2014"  -.013 -.009893797 -.014049616 -.031033673  .003927944  .000665513
"04.01.2014"   -.01 -.018279865  .004951909  .027531042  .011636513  .063913275
"05.01.2014"   .021  .029342683   .03540892  .009510282  .014447894  .005250985
"06.01.2014"  -.023  .025568482 -.011082873 -.014693528 -.005042224  .036191779
"07.01.2014"  -.008 -.070777296 -.043281498  -.00205073 -.034919956 -.040808978
"08.01.2014"   .008 -.022769232  .006663846  .013319247  .018334077  .009384972
"09.01.2014"      0 -.051315234  .000436106 -.028891088  .016799942 -.021570694
"10.01.2014"  -.013 -.123862249 -.015561044 -.011513396 -.034907763 -.073487488
"11.01.2014"   .038 -.196829065  .070117842  .026907631  .044200403 -.078495726
"12.01.2014"  -.018  -.21655157 -.017563634 -.023284077 -.032144648 -.018921125
"01.01.2015"   -.02 -.099184769  .090639485   .02791768  .065156384  .021479353
"02.01.2015"   .013  .031022896  .066141653  .029226302  .073866756  .090256182
"03.01.2015"      0 -.044378687  .049511212 -.024993306  .027335371 -.043123939
"04.01.2015"  -.021  .225326042 -.042769742  .027696573  -.02212107  .076366217
"05.01.2015"   .011  .011173301 -.003541004  .003419231 -.012393551 -.039891863
"06.01.2015" -.0105  -.01386012 -.041077396 -.066354735  -.04102185  -.05981732
"07.01.2015"  .0335 -.232774444  .033259114  .026882462  .051511258 -.002629657
"08.01.2015"  -.028  .043196084 -.092804928 -.066953592 -.091943489 -.104584737
"09.01.2015" -.0132 -.087233131 -.058387089  -.02982263 -.051675572 -.070914445
"10.01.2015"  .0182  .032725433  .123151741  .049406016  .102416574  .122105819
"11.01.2015"   .096 -.112084557   .04903992 -.000786029  .025808679  .022046132
"12.01.2015"   .028 -.117302959  -.05615947 -.017899369 -.068140142 -.112151685
"01.01.2016"   .092 -.096877282 -.087954866 -.025396007 -.068073034 -.018070206
"02.01.2016"    .01  .003859289 -.030894734  .002186137  -.03262301  .009509554
"03.01.2016"  -.062   .12751332  .049509236  .012761826   .02008996  .000261666
"04.01.2016"  -.007  .180407014  .007371424  .010848759  .007747269  .079700035
"05.01.2016"    .03  .066958283  .022290135 -.001778308  .011647145 -.030689711
"06.01.2016"   -.01 -.015806549 -.056773337  .043901335 -.064873934  .085319113
"07.01.2016"  -.008 -.149952319  .067913625  .033838996  .043990031 -.040764625
"08.01.2016"   .087  .071873334  .024685852  .008488452  .010823336 -.014005602
"09.01.2016"  -.064  .076215051 -.007710034  .017373712 -.006910057  .006493506
"10.01.2016"  -.023 -.029024119  .014650338  .007955845  .017656816  .029758065
"11.01.2016"   .191   .05359538 -.002316922 -.024507421 -.001191392  .032265643
"12.01.2016"   .053  .083025559  .079016569  .052926167  .078289821  .100978681
"01.01.2017"   .048 -.017084805  .004725173 -.006115223 -.018185576 -.055264609
"02.01.2017"  -.066  .022468648  .025929082  .023142207  .027526713 -.012035011
"03.01.2017"   .335 -.065217638  .040429561  .008188957  .054620874  .012033961
"04.01.2017"  -.066 -.025419161  .010163349 -.016247617  .016755548 -.025459586
"05.01.2017"   .195 -.020686862  .014234592  .043866273 -.001404656  .006138184
"06.01.2017"  -.028  -.04833497  -.02298364 -.027557364 -.031708298 -.056543412
"07.01.2017"   .143  .085906655 -.016784421  .008106423  .002173231  .015298478
"08.01.2017"  -.044 -.060387955 -.005150084  .007951709 -.008085558 -.018097087
"09.01.2017"   .011  .089848058  .064119962 -.007786699  .050674125  .085745926
"10.01.2017"    .03  .051119097  .031235043  .016319533    .0220037  .054932245
"11.01.2017"   .155  .054047864 -.015540188 -.022208491 -.028312851 -.018508287
"12.01.2017"   .127  .051275873 -.008164939  .049285692 -.018479354   .02265691
"01.01.2018"   .201  .068904597  .021044092 -.020060434  .030060275  .005366726
"02.01.2018"   .045 -.048913762  -.05713872 -.040039556 -.047192107 -.047289899
"03.01.2018"   .114  .052152756 -.027269547 -.024239793 -.022524252 -.004166367
"04.01.2018"   .003  .054391355  .042604902    .0641512  .052066042  .127461588
"05.01.2018"   .122 -.022565665 -.000572466   .02249211 -.036722541  .023928343
"06.01.2018"   .013  .100800612 -.023712226 -.005374958 -.003243656  .004873782
"07.01.2018"   .139 -.075467888  .040589956  .014643319  .038252444  .007275215
"08.01.2018"   .036  .015011829 -.034472688 -.040824596 -.037608956 -.038273968
"09.01.2018"   .178  .048244238 -.009489601  .010464963  .001856819  .054047115
"10.01.2018"   .082 -.114733084 -.065259869 -.050877473 -.059334549 -.049144388
"11.01.2018"   .113 -.248693023 -.016621082 -.020743256 -.007624683 -.067055207
"12.01.2018"   .128 -.114719796 -.062029414 -.036117669 -.054113761 -.051005698
"01.01.2019"  -.038  .169355231  .058162925  .035778143  .052645081  .064163773
"02.01.2019"   .018  .061815911  .030657561  .015193325   .04394147  .027122561
"03.01.2019"   .037   .04977169   .00090312  .028900043  .016205514  .020582396
"04.01.2019"  -.023  .060800666  .070973205  .019099653   .04860504  .002464172
"05.01.2019"  -.066  -.17779419 -.050002916 -.034578376 -.066633093 -.053043535
"06.01.2019"  -.181  .088832148  .057301029  .036851534  .058913008  .029988387
"07.01.2019"  -.187  .001879539 -.016917766  .021701862 -.001969088   -.0155193
"08.01.2019"   .098 -.061243625 -.020490539 -.050034402 -.011563812 -.082794395
"09.01.2019"  -.146 -.018870213  .040940492  .027893018  .041639916  .062724936
"10.01.2019"    -.4  .002032333  .035299902 -.021574712  .009794226 -.025571912
"11.01.2019"   .105  .018107491  .028724336  .013540957  .027513518   -.0000709
"12.01.2019"  -.174   .10143766  .000954188  .026667012  .011224275  .017094623
"01.01.2020"    .09 -.169110809 -.020155468 -.033998282 -.027833331 -.077062557
"02.01.2020"  -.124 -.141431295 -.084087392 -.096815678 -.085533562 -.153846154
"03.01.2020" -1.406 -.781866083 -.164377836 -.138079904 -.162964899 -.156724415
"04.01.2020"   .051 -.083466531  .093177829  .040418127  .050604614 -.036429101
"05.01.2020"    .04  .633268698  .066768002  .029721023  .041759878 -.035388504
"06.01.2020"      0  .101209902  .062491531   .01532765  .060281293 -.000455737
"07.01.2020"  -.033  .025145906  .000197386 -.044082895 -.018475172 -.088681181
"08.01.2020"   -.01  .056482193  .051327988  .011158474  .030932609  .021013133
"09.01.2020"  -.012 -.057724583 -.014263776 -.016344237 -.024109934 -.125444077
"10.01.2020"    .01  -.11669586  -.09437156 -.049237142 -.073709689 -.069897745
"11.01.2020"  -.003   .23652112   .15010453  .123522799  .180626122  .328915663
"12.01.2020"  -.025  .067786439  .032173264  .031012465  .017208106  .019832276
"01.01.2021"      0  .073106411 -.020840774 -.008212961 -.020041434  .020224469
"02.01.2021"  -.026   .16395468  .026310089  .011856492  .044521807   .09846422
"03.01.2021"  -.017 -.038791537  .088642412  .035505897  .077760117  .014179474
"04.01.2021"  -.003  .072053318  .008499941  .038158195  .014168672 -.035979664
"05.01.2021"  -.005  .042192555  .018843928  .007575529  .016282826   .02484787
"06.01.2021"   .043  .102385649  .007127234  .002116022  .006149337  .030677882
"07.01.2021"  -.002   .00651203  .000859569 -.000734639  .006151121 -.033605377
"08.01.2021"  -.011 -.076555444  .018701281  .012428366  .026192747  .014803775
"09.01.2021"   .018  .091054288  -.03627387 -.004674354  -.03534688  .127178383
"10.01.2021"   .003   .10779657  .028051156  .021329529  .050018774   .03595935
"11.01.2021"    .05 -.233306302 -.037519831  -.02461047 -.044111835  -.07042844
"12.01.2021"   -.05  .127905898  .051968427   .04605033  .057924323  .054388022
"01.01.2022"  -.015  .158755708 -.026041149  .010810423 -.028803674  .130025663
"02.01.2022"    .02  .082387354 -.065294224 -.000819895 -.059974608 -.014988645
"03.01.2022"   .086   .04653901 -.003199636  .007700198 -.005532296  .050107593
"04.01.2022"   .223  .043037329 -.021982344  .003841302 -.025537345  .034543326
"05.01.2022"    .35  .091054836  .020603807  .008364979 -.003589404  .102716469
"06.01.2022"   .358 -.080886062 -.111519389 -.057623501  -.08823739 -.110469592
"07.01.2022"  1.111 -.069898295  .054778833  .035449864  .073299642  .034833405
"08.01.2022"   .147 -.096476952 -.048137614 -.018762216 -.051468407  .027597742
"09.01.2022"   .402 -.119165901 -.056143533 -.053587584 -.056592508 -.052967107
"10.01.2022"   .892  .084859947  .094052018  .029115975   .09021156  .119521627
"11.01.2022"    .33 -.071488926  .086262444  .067449147  .095971295   .04464914
"12.01.2022"   .044 -.001117804 -.032885232 -.016018645 -.043155633 -.060131039
end
// code you ran 
gen qdate=date(v1,"DMY")
format qdate %tq
tsset qdate
tsreport

// those results should have been a clue that you got your date very wrong
drop qdate

// code you should have run
gen mdate=mofd(date(v1,"MDY"))
// the result is a monthly date not a quarterly date
format mdate %tm
list v1 mdate in 1/5
list v1 mdate in -4/l
tsset mdate
tsreport

//Estimate SVAR(4) with Cholesky
matrix A = (.,0,0,0,0,0\.,.,0,0,0,0\.,.,.,0,0,0\.,.,.,.,0,0\.,.,.,.,.,0\.,.,.,.,.,.)
matrix B = (1,0,0,0,0,0\0,1,0,0,0,0\0,0,1,0,0,0\0,0,0,1,0,0\0,0,0,0,1,0\0,0,0,0,0,1)
svar cinterestrate clcrudeoil dax ftse eurostocks mscieuropeenergy, lags(1 2 3 4 5 6) aeq(A) beq(B)
matlist e(A)
matlist e(B)


fcast compute f_, step(6)
fcast graph f_cinterestrate f_clcrudeoil f_dax f_ftse f_eurostocks f_mscieuropeenergy

Selected output

. // code you ran 
. gen qdate=date(v1,"DMY")

. format qdate %tq

. tsset qdate

Time variable: qdate, 6800q2 to 7624q2, but with gaps
        Delta: 1 quarter

. tsreport

Time variable: qdate
------------------------
Starting period = 6800q2
Ending period   = 7624q2
Number of obs   =    118
Number of gaps  =      9

. 
. // those results should have been a clue that you got your date very wrong
. drop qdate

. 
. gen mdate=mofd(date(v1,"MDY"))

. // the result is a monthly date not a quarterly date
. format mdate %tm

. list v1 mdate in 1/5

     +---------------------+
     |         v1    mdate |
     |---------------------|
  1. | 03.01.2013   2013m3 |
  2. | 04.01.2013   2013m4 |
  3. | 05.01.2013   2013m5 |
  4. | 06.01.2013   2013m6 |
  5. | 07.01.2013   2013m7 |
     +---------------------+

. list v1 mdate in -4/l

     +----------------------+
     |         v1     mdate |
     |----------------------|
115. | 09.01.2022    2022m9 |
116. | 10.01.2022   2022m10 |
117. | 11.01.2022   2022m11 |
118. | 12.01.2022   2022m12 |
     +----------------------+

. tsset mdate

Time variable: mdate, 2013m3 to 2022m12
        Delta: 1 month

. tsreport

Time variable: mdate
-------------------------
Starting period =  2013m3
Ending period   = 2022m12
Number of obs   =     118
Number of gaps  =       0

.