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From |
Kit Baum <baum@bc.edu> |

To |
jp870@columbia.edu |

Subject |
st: Re: KPSS test in STATA |

Date |
Mon, 11 Apr 2005 09:00:08 -0400 |

Dear Jee-Kwang

The kpss command returns the statistics as individual scalars, not as a matrix:

. webuse wpi1

. whelp kpss

. kpss wpi

KPSS test for wpi

Maxlag = 4 chosen by Schwert criterion

Autocovariances weighted by Bartlett kernel

Critical values for H0: wpi is trend stationary

10%: 0.119 5% : 0.146 2.5%: 0.176 1% : 0.216

Lag order Test statistic

0 1.96

1 .992

2 .669

3 .507

4 .411

. return list

scalars:

r(kpss4) = .4109284269005028

r(kpss3) = .5073039368808655

r(kpss2) = .6685610195922723

r(kpss1) = .9915345342595147

r(kpss0) = 1.958072535544316

r(N) = 124

.

If you specify the maxlag option, you will know how many of these there are. If you want to put them into a matrix, it is easy enough to do so:

. mat kpres = J(5,1,0)

. forv i=1/5 {

2. mat kpres[`i',1] = `r(kpss`=`i'-1')'

3. }

. mat list kpres

kpres[5,1]

c1

r1 1.9580725

r2 .99153453

r3 .66856102

r4 .50730394

r5 .41092843

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

On Apr 11, 2005, at 12:02 AM, jp870@columbia.edu wrote:

Dear Professor Baum, I am using your KPSS test command. Thanks for contributing the command to STATA community. I have a question in getting t-statistics after running the KPSS test. The "dfgls" command save the results as "r(results)" so that I can store it as a matrix of a new name. How can I get the results(test-statistics) matrix after KPSS? I will appreciate your response deeply. Bests Jee-Kwang Park Department of Political Science Columbia University

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