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st: RE: Re: Levin-Lin-Chu


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: Levin-Lin-Chu
Date   Sun, 28 Nov 2004 17:24:51 -0000

First, please do not send HTML to the list. 

Second, 

. tsset lnQ 

is quite wrong, as -lnQ- is not a time variable. 

Nick
n.j.cox@durham.ac.uk 

Naceur Khraief

I have a Panel like this form

lnq = a_1 + a_2.lnQ + a_3.lnREus + a_3.lnREjp + a_4.lnREmq + a_4.lnREsk + a_5.lnREhk  +     a_6.lnREau + u

lnq: canada exported quantity  ( dependent variable) 
lnQ, lnREus, lnREjp, lnREmq, lnREsk, lnREhk, lnREau are respectively the canada capacity constraint and the real exchange rate between canada and USA, Japon, Mexico, South-Korea, Hong-Kong and Australia (independent variables).
At the begining I have a Panel and I want to identify each unit's time series, in order to achieve this goal, having the result of  tsset country datevar to define both a panel variable and a time variable.
I tested lnq variable  Ihave this result (there is no problem):

levinlin lnq, lag(0)

Levin-Lin-Chu test for lnq        Deterministics chosen: constant
Pooled ADF test, N,T = (6,191)    Obs = 1140   
Augmented by 0 lags (average)     Truncation: 18 lags
coefficient         t-value        t-star            P > t
 -0.19554      -11.273      -9.85790      0.0000

But When I tested lnQ, I had this results:

levinlin lnQ, lag(0)
Levin-Lin-Chu test for lnQ        Deterministics chosen: constant
no observations
r(2000);

In the end the tsset of this variable give this resuts:

tsset lnQ
time variable must contain only integer values
r(451);

Kit Baum

What does the tsset command say about this variable?

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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