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st: RE: test for stationarity that accepts the "by" command?


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: test for stationarity that accepts the "by" command?
Date   Thu, 14 Sep 2006 19:07:11 -0500

-levelsof- with -foreach- can be used to cycle through the groups and test
for a unit-root in each one.  You could also use -post- to collect the
results.  For example:

webuse grunfeld,clear
tempfile results
tempname hold
postfile `hold' company pvalue test_stat  using `results'
levelsof company, local(levels)
foreach l of local levels {
	qui dfuller invest if com == `l'
	post `hold' (`l') (r(p)) (r(Zt))
	}
postclose `hold'
preserve
use `results', clear
l
restore


Scott
	

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Jason Yackee
> Sent: Thursday, September 14, 2006 6:45 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: test for stationarity that accepts the "by" command?
> 
> Dear Stata seers,
> 
> I am trying to test for stationarity of cross-sectional time series data
> for individual cross-sections (countries).  I am aware of xtfisher and
> pescadf as tests that work across unbalanced panels and provide a single
> statistic for the entire dataset.  But these are weak tests, and I'd like
> to be able to test individual series by country, in order to see if most
> individual series show signs of stationarity or unit roots.
> 
> I've tried -by country: dfuller varname-, -by country: pperron varname-
> and so on with -kpss- and -dfgls- and -levinlin-, but none of these
> commands allow a -by- (or -bysort-) option.
> 
> Might there be another command, of which I am not aware, that is up to the
> task?  If not, am I left to breaking down my 150-country dataset into 150
> single-country datasets, or by using 150 different -if country- commands?
> 
> Jason Webb Yackee


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