Here is one way and an example of the output.
Scott
. webuse lutkepohl,clear
(Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993
Table E.1)
. adftest dlinv, lag(10)
Optimal lag by AIC criteria = 3
Augmented Dickey-Fuller test for unit root Number of obs
= 87
---------- Interpolated Dickey-Fuller --
-------
Test 1% Critical 5% Critical 10%
Critical
Statistic Value Value
Value
-----------------------------------------------------------------------
-------
Z(t) -3.290 -3.528 -
2.900 -2.585
-----------------------------------------------------------------------
-------
MacKinnon approximate p-value for Z(t) = 0.0153
. adftest dlinv, lag(10) bic
Optimal lag by BIC criteria = 1
Augmented Dickey-Fuller test for unit root Number of obs
= 89
---------- Interpolated Dickey-Fuller --
-------
Test 1% Critical 5% Critical 10%
Critical
Statistic Value Value
Value
-----------------------------------------------------------------------
-------
Z(t) -7.510 -3.525 -
2.899 -2.584
-----------------------------------------------------------------------
-------
MacKinnon approximate p-value for Z(t) = 0.0000
. estimates stat
-----------------------------------------------------------------------
-------
Model | Obs ll(null) ll(model) df
AIC BIC
-------------+---------------------------------------------------------
-------
adf_1_dlin~t | 89 112.0825 151.2462 3 -296.4923 -
289.0264
adf_2_dlin~t | 88 110.3282 149.7886 4 -291.5772 -
281.6679
adf_3_dlin~t | 87 108.9272 154.1228 5 -298.2457 -
285.9162
adf_4_dlin~t | 86 109.1804 152.3199 6 -292.6398 -
277.9137
adf_5_dlin~t | 85 107.9103 150.0973 7 -286.1947 -
269.0961
adf_6_dlin~t | 84 106.1527 147.9145 8 -279.829 -
260.3825
adf_7_dlin~t | 83 104.5957 147.4534 9 -276.9067 -
255.1372
adf_8_dlin~t | 82 103.5983 146.9816 10 -273.9633 -
249.8961
adf_9_dlin~t | 81 101.9356 144.9244 11 -267.8488 -
241.5098
adf_10_dli~t | 80 100.188 142.758 12 -261.5159 -
232.9316
-----------------------------------------------------------------------
-------
---------------------cut here ---------------------------
program define adftest, rclass
version 9.2
syntax varlist(max=1) [if] [in] [, Lags(int-1) bic ]
estimates clear
tokenize `varlist'
foreach var of local varlist{
forvalues i=1/`lags'{
//display "ADF(`i') of `var'"
qui dfuller `var', constant lags(`i')
local list storage(`i')
estimates store adf_`i'_`var'
}
qui estimates stats `storage(`i')'
matrix s=r(S)
matrix criteria=J(`lags',2,.)
forvalues i=1/`lags' {
matrix criteria[`i',1]=s[`i',5]
matrix criteria[`i',2]=s[`i',6]
}
if "`bic'" != "" {
matrix criteria = criteria[1...,2]
local crit "BIC"
}
else {
matrix criteria = criteria[1...,1]
local crit "AIC"
}
}
mata: min_row(st_matrix("criteria"))
local min = min[1,1]
display " "
display in gr "Optimal lag by `crit' criteria = " `min'
dfuller `varlist', lag(`min') constant
end
mata:
matrix function min_row(matrix A)
{
B = colmin(A)
C = B:==A
A2 = (0, 0)
maxindex(C, 1, C, A2)
st_matrix("min",C)
}
end
---------------------cut here ---------------------------
----- Original Message -----
From: Rodrigo Martell <[email protected]>
Date: Tuesday, August 8, 2006 10:45 pm
Subject: st: Select minimum AIC from a matrix
To: [email protected]
> This might seem like a silly question but it stems from my
> inexperience with Stata. I've created (with a bit of help from
> StataCorp) a program that runs an ADF test for a series for a
> number of lags specified by the user. I get to a point where the
> AIC and BIC are reported in a matrix called "criteria". Here's the
> code I've written:
> ************************************************
> program define adftest263, rclass
> version 9
> syntax varlist(max=1) [if] [in] [, /*
> */Lags(int-1)]
> tokenize `varlist'
> foreach var of local varlist{
> forvalues i=1/`lags'{
> display "ADF(`i') of `var'"
> dfuller `var', constant lags(`i') regress
> local list storage(`i')
> estimates store adf_`i'_`var'
> }
> estimates stats `storage(`i')'
> matrix s=r(S)
> matrix list s
> matrix criteria=J(`lags',2,.)
> forvalues i=1/`lags' {
> matrix criteria[`i',1]=s[`i',5]
> matrix criteria[`i',2]=s[`i',6]
> }
> matrix list criteria
> ***** Up to here it works fine *********
> }
> end
> ***********************************************************
> I want to now select the first column (I presume a command with
> j=1 and any `i'?) of this matrix and calculate the minimum. This
> minimum should
> correspond to the "best fitting (by AIC) ADF lag length". I want
> to select that lag length and run it for the series to report the
> result.Does anyone know how to do this? I'd greatly appreciate a
> hand. An example of what I'm trying to do:
>
> The result of running the program with an ADF(2) would be a matrix
> displayed like this. The first column corresponds to the AIC and
> the second to the BIC, while the rows correspond to the number of
> lags in the ADF:
>
> c1 c2
> r1 1.5 1.6
>
> r2 0.5 0.5
>
> From the output, I want to calculate the minimum of column c1
> (minimum AIC), which would be 0.5, which corresponds to the second
> row, which implies an ADF(2) is the best fitting model. I would
> then want to run -dfuller [series], constant lags(2)-
>
> I would love a hand if anyone can give me one. Thanks!
>
> Rodrigo
>
> Rodrigo Martell
>
> <http://www.frontier-economics.com>
> Frontier Economics Pty. Ltd.
> 395 Collins Street
> Melbourne VIC 3000
> Australia
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