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st: optimal lag order in dynamic panel


From   "Majah Ravago" <rmajah@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: optimal lag order in dynamic panel
Date   Fri, 23 Nov 2007 20:02:29 -1000

Dear Scott and Sean,

Thank you very much for posting this codes. THis is what i need!
I just have a few questions 'coz it returns an error to my data.
i'm a beginner in dynamic panel analysis. i need the optimal lag to
use levinlin and pescadf

my data is i=77 and T=7 (panel survey of every three  years)

I was trying to adapt the codes below. Why does it only use 12
countries in the panel?
I tried removing this line to include my 77 i (province), but i got an
error "insufficient observation."
Is 13 in the "keep if country < 13" an arbitrary chosen number because
countries in the example is more than this.

Please tell me what this means:

forv i = 1(5)60 {
	local lag = opt[`i']
	local opt_lag "`opt_lag' `" "' `lag'"

What is the 1(5)60.

I hope somebody can explain. I really need this codes figure out badly.

Thank you so much!!!


Majah




use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear
qui {
keep if country < 13
preserve
levels country, local(levels)
foreach l of local levels {
	varsoc rgdp if country == `l'
	matrix A = r(stats)
	if `l' > 1 {
		matrix C = C \ A
	}
	else {
		matrix C = A
	}
}
svmat C, name(col)
keep if HQ < .

egen id = fill(1 1 1 1 1 2 2 2 2 2)

egen minh = min(H), by(id)
gen optimal_lag = lag if minh == HQ

sort id opt
forv i = 1(5)60 {
	local lag = opt[`i']
	local opt_lag "`opt_lag' `" "' `lag'"
}

restore
}
levinlin rgdp, lag(`opt_lag')
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