This comment
*/computation of the t-stat of the 8th lag/
should be
/* computation of the t-stat of the 8th lag */
Nick
[email protected]
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]On Behalf Of Nick Cox
> Sent: 03 October 2007 14:54
> To: [email protected]
> Subject: st: RE: Program ADF test with Perron's procedure
>
>
> 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
> [email protected]
>
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