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Re: st: How to do Davidson-Mackinnon P-test in STATA


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to do Davidson-Mackinnon P-test in STATA
Date   Sun, 18 Feb 2007 23:19:04 +0000 (GMT)

If typing -findit Davidson Mackinnon- doesn't produce any satisfactory
hits (nor any other search terms) then no one has written that program
yet and you have the opportunity to become the author of a Stata
program. 

Hope this helps,
Maarten

--- Angsana Achakulwisut <angsana_th@yahoo.com> wrote:

> Marrten -- Thanks for your quick response to my
> question.
> 
> Here are some more details of the P test. Davidson and
> Mackinnon (1981) suggest that if you have 2 different
> model specifications that you can fit the data. One
> way to choose between non-nested non-linear models is
> to use Davidson and Mackinnon P test by estimating the
> following function:
> 
> y(t) = (1 - alpha)f(t) + alpha*ghat(t) + FhatBhat +
> u(t)
> 
> f(t) and g(t) are the null and alternative models;
> ghat(t) is the fitted values from fitting the model on
> y
> FhatBhat is a vector containing the derivatives of f
> with respect to B evaluated at Bhat
> 
> We can then test if the null hypothesis that alpha is
> zero (model f(t) is the better model). t-test can be
> used to test this hypothesis.
> 
> I hope these details should be helpful for others to
> understand the analysis problem I am looking at.
> 
> Thanks for any hints or suggestions that you can
> provide.
> 
> -Angsana
> --- Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> 
> > --- Angsana Achakulwisut <angsana_th@yahoo.com>
> > wrote:
> > > I wan to use Davidson-Mackinnon
> > > P-test to compare different model specifications.
> > But
> > > I got stuck with the following questions:
> > > * Are there any ready-to-use STATA commands or ADO
> > > files for this test?
> > 
> > -findit Davidson-Mackinnon- did show some hits, I am
> > not familiar with
> > the Davidson-Mackinnon p-test so I can't say if that
> > is what you want.
> > 
> > This immediately leads to a point in the Statalist
> > FAQ:
> > "Please do not assume that the literature familiar
> > to you is familiar
> > to all members of Statalist. Do not refer to
> > publications with just
> > minimal details (e.g., author and date). Questions
> > of the form "Has
> > anyone implemented the heteroscedasticity under a
> > full moon test of
> > Sue, Grabbit, and Runne (1989)?" admittedly divide
> > the world. Anyone
> > who has not heard of the said test would not be
> > helped by the full
> > reference to answer the question, but they might
> > well appreciate the
> > full reference."
> > 
> > Hope this helps,
> > Maarten
> > 
> > 
> > -----------------------------------------
> > Maarten L. Buis
> > Department of Social Research Methodology
> > Vrije Universiteit Amsterdam
> > Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> > 
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> > 
> > +31 20 5986715
> > 
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> > 
> > 
> > 		
> >
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> > 
> 
> 
> 
>  
>
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-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


		
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