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Re: st: Problem with foreach in Stata 10.1


From   Neil Shephard <nshephard@nhs.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with foreach in Stata 10.1
Date   Mon, 17 Nov 2008 17:46:22 +0000

Your title indicated -foreach- but your actually using -forval- and the
problem isn't related to doing things in a loop.

Joao Ricardo F. Lima wrote:
> How you can see, the estat ic is repeated in each looping...
>
> Can someone reproduce my problem and explain what am I doing wrong?
>
> Thanks a lot
>
>   

It looks to me like you copied and pasted the output from 9.2 in both
instances.  When I ran the code in Stata 10.1 (Born 11 Aug 2008) there
was a note at the bottom of the tables output by -estat-....

 Note:  N=Obs used in calculating BIC; see [R] BIC note

On reading this your problem became clearer and looking at the tables
again I notied that the Obs reported by -estat- did not match those
reported by -dfuller-, so I took the advice given in that note and used
thesample sizes estaimted by -dfuller- when calling -estat-...

webuse air2, clear
forvalues i=1/3 {
  dfuller air, lags(`i')
  estat ic, n(`r(N)')
 }

...is this what you were expecting (output below)?

Neil

Augmented Dickey-Fuller test for unit root         Number of obs  
=       142

                               ---------- Interpolated Dickey-Fuller
---------
                  Test         1% Critical       5% Critical      10%
Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -2.345            -3.496            -2.887           
-2.577
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.1579

-----------------------------------------------------------------------------
       Model |    Obs    ll(null)   ll(model)     df         
AIC         BIC
-------------+---------------------------------------------------------------
           . |    142           .   -1285.563     20     2611.125   
2670.242
-----------------------------------------------------------------------------
               Note:  N=142 used in calculating BIC

Augmented Dickey-Fuller test for unit root         Number of obs  
=       141

                               ---------- Interpolated Dickey-Fuller
---------
                  Test         1% Critical       5% Critical      10%
Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.811            -3.496            -2.887           
-2.577
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.3751

-----------------------------------------------------------------------------
       Model |    Obs    ll(null)   ll(model)     df         
AIC         BIC
-------------+---------------------------------------------------------------
           . |    141           .   -1285.563     20     2611.125     
2670.1
-----------------------------------------------------------------------------
               Note:  N=141 used in calculating BIC

Augmented Dickey-Fuller test for unit root         Number of obs  
=       140

                               ---------- Interpolated Dickey-Fuller
---------
                  Test         1% Critical       5% Critical      10%
Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.536            -3.497            -2.887           
-2.577
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.5158

-----------------------------------------------------------------------------
       Model |    Obs    ll(null)   ll(model)     df         
AIC         BIC
-------------+---------------------------------------------------------------
           . |    140           .   -1285.563     20     2611.125   
2669.958
-----------------------------------------------------------------------------
               Note:  N=140 used in calculating BIC


-- 
"We should make things as simple as possible, but not simpler" - Anon (not Albert Einstein)


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