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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Program ADF test with Perron's procedure |

Date |
Wed, 3 Oct 2007 14:54:19 +0100 |

Although syntax varname is fine as a variant on syntax varlist -syntax- still populates the -varlist- macro with whatever you supplied as varname. No local macro -varname- is defined by -syntax-. Thus I guess that qui dfuller `varname', should be qui dfuller `varlist', A separate bug in your program is that you allow -if- and -in- but do nothing to let them take effect. Various commands need to be made ... if `touse' Another bug is local i Lags which should be local i = `lags' Another class of bugs is confusion between tstat and `tstat', etc. And there are some typos. I note tacit assumptions about what your variables are called (DL*). Here is a hack. capture program drop adfperron * NJC was here *! adfperron v1 Nourry 03oct2007 program adfperron, rclass version 9.2 syntax varname(ts) [if] [in] [,Lags(int -1)] marksample touse qui count if `touse' if r(N) == 0 error 2000 local i = `lags' qui dfuller `varlist' if `touse', lags(`i') trend regress */first regression with i lags/ local bstat = _b[DL`i'] local sestat = _se[DL`i'] local tstat = `bstat'/`sestat' */computation of the t-stat of the 8th lag/ qui while abs(`tstat')< 1.645 & `i' > 0 { local i = `i' - 1 dfuller `varlist' if `touse', lags(`i') trend regress local bstat = _b[DL`i'] local sestat = _se[DL`i'] local tstat = `bstat'/`sestat' /* while the last lag is not significant, drop it and do a new regression without this term */ } dfuller `varlist' if `touse', lags(`i') trend regress end Nick n.j.cox@durham.ac.uk Myriam Nourry I am trying to write a program to test unit root (ADF > test) by using Perron's procedure to choose the > maximum lag length included in the regression. > > The idea is to perform a first regression with 8 lags. > If the absolute value of the t-statistic on the eighth > lagged term is less than -1,645 (i.e., approximate 5% > significance level in an asymptotic normal > distribution), then this term is dropped and the > procedure is repeated for the seventh lagged term. The > procedure is stopped when the last lagged term is > significant, in which case all lesser > first-differenced lagged terms remain in the test, or > zero lagged terms will result. > > Therefore, I wrote the following program (this is my > first program...) but it doesn't work and I can't see > the errors. So I need your help ! > > capture program drop adfperron > *! adfperron v1 Nourry 03oct2007 > program define adfperron, rclass > version 9.2 > syntax varname(ts) [if] [in] [,Lags(int -1)] > marksample touse > > local i Lags > qui dfuller `varname', lags(`i') trend regress > */first regression with i lags/ > local bstat = "_b[DL`i']" > local sestat = "_se[DL`i']" > gen tstat = `bstat'/`sestat' > */computation of the t-stat of the 8th lag/ > while abs(`tstat')< abs(-1.645) & `i'>0 { > local i=`i'-1 > qui dfuller `varname', lags(`i') trend regress > qui replace bstat = "_b[DL`i']" > qui replace sestat = "_se[DL`i']" > qui replace tstat = `bstat'/`sestat' > */while the last lag is not significant, drop it and > do a new regression without this term/ > } > dfuller `varname', lags(`i') trend regress > end > > When I run this program on Stata, I obtain the > following message : `invalid name r(198) > > I hope you can help me to solve this problem. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: Program ADF test with Perron's procedure***From:*"Austin Nichols" <austinnichols@gmail.com>

**st: RE: RE: Program ADF test with Perron's procedure***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**st: Program ADF test with Perron's procedure***From:*Myriam Nourry <myriam_nourry@yahoo.fr>

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