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st: St: store estimates for ADF


From   jdubas@nd.edu
To   STATA list <statalist@hsphsun2.harvard.edu>
Subject   st: St: store estimates for ADF
Date   Tue, 24 Aug 2004 11:38:55 -0500

Hello,
I am trying to compute the Im, Pearson, Shin Panel Unit Root tests, but an
unabble to with "gaps in the data" that won't seem to go away.  So I am trying
to construct it on my own by computing the ADF for each country in my sample.

Is there a way to save the ADF statistic for each country in one spot?  Also, is
there a rule of thumb regarding how many lags to use? I plan to proceed in a
loop:

forval i=1/103 {  **This is the number of countries**
dfuller _varname if country==`i', trend lags(#)
}

Then I need to average these individual ADF statistics.

I also need number of observations for each country to be stored

Thanks,
Justin


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