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Re: st: RE: Re: RE: problems about madfuller package


From   Fred Wolfe <fwolfe@arthritis-research.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Re: RE: problems about madfuller package
Date   Tue, 19 Apr 2005 09:59:37 -0500

I get errors like this from time to time in other situations. Sometimes it helps to

drop __*

then run the program



At 09:54 AM 4/19/2005, you wrote:

OK, so that's seemingly not the explanation.

As reported, the original example in the help file
works fine with me. See below. So, I don't have
any more ideas here.

.  use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear
(Penn World Table Mark 5, R. Summers / A. Heston, 1991)

.  madfuller rgdppc if country<11, lags(2(2)8)

Multivariate Augmented Dickey-Fuller test for rgdppc
with 26 observations on 10 cross-sectional units
-----------------------------------------------------------
       Obs    Lags        MADF      Approx 5% CV
-----------------------------------------------------------
        24       2      41.274         31.844
        22       4      45.038         34.737
        20       6      30.610         38.897
        18       8      51.578         45.195
-----------------------------------------------------------
H0: all 10 timeseries in the panel are I(1) processes

.  madfuller D.rgdppc if country<11, lags(4)

Multivariate Augmented Dickey-Fuller test for D.rgdppc
with 25 observations on 10 cross-sectional units
-----------------------------------------------------------
       Obs    Lags        MADF      Approx 5% CV
-----------------------------------------------------------
        21       4      82.132         36.616
-----------------------------------------------------------
H0: all 10 timeseries in the panel are I(1) processes

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

www

> I have update all the ado file and executable file.
> But the same problem occurs.
> When using madfuller package, are there any other packages
> also required?
> I use the levinlin package, it works fine.
> But madfuller doesn't.

Nick Cox

> > This is the test example for Kit Baum's
> > -madfuller- from SSC. It works fine for
> > me. I suspect some different problem,
> > such as your Stata not being fully up-to-date.
> > -update all- and try again.

www, a.k.a Terence

> > > While using madfuller to test panel unit root,
> > > I use the example provided by this package.
> > > Those commands I use are following:
> > >
> > > use  http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear
> > > tsset country year, yearly
> > > madfuller rgdppc if country<11, lags(2(2)8)
> > >
> > > But I got error message like 'variable __000001 not found' or
> > > ' variable
> > > year not found'
> > > Does anyone have same experience like this?
> > > Or the commands I set are wrong?

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Fred Wolfe
National Data Bank for Rheumatic Diseases
Wichita, Kansas
Tel (316) 263-2125     Fax (316) 263-0761
fwolfe@arthritis-research.org


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