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From |
"Austin Nichols" <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 3 Oct 2007 11:32:37 -0400 |

Myriam Nourry <myriam_nourry@yahoo.fr>: You seem to have many errors in the program, but I suspect the immediate problem is that your quotes are not in the form Stata expects--are you using a text editor to type your program? A nonstandard keyboard? Do the quotes appear normal if the program is opened in Stata's do-file editor? If you -set trace on- when you run the program, you will see a lot of output, some of it informative as to where you have errors. If you -set traced 2- you will see slightly less output... On 10/3/07, Myriam Nourry <myriam_nourry@yahoo.fr> wrote: > 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) * * 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/

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

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