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Re: st: trying tsset before dfgls


From   Richard J Stoll <stoll@rice.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: trying tsset before dfgls
Date   Thu, 6 Jun 2002 14:29:12 -0500 (CDT)

On Fri, 7 Jun 2002, Preeti Rao wrote:

> I am trying to apply Dickey-Fuller test to daily share prices covering a
> period of 5 years (starting from 1st April 1996 to 31st March 2001) for
> 100 companies of Bombay Stock Market.
>
It looks to me like you are trying to tsset the variable you want to
analyze.  You need to tsset the variable that contains the date.
------------------------------------------------------------------------
Richard J. Stoll, Professor of Political Science and
Associate Dean of Social Sciences * Rice University
Dept. Political Science MS 24 * P.O. Box 1892 * Houston TX 77251-1892
E-mail: stoll@rice.edu * Tel: 713-348-3362 * FAX: 713-348-5273


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