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RE: st: Problem with foreach in Stata 10.1


From   Jeetendra Aryal <jeetendra.aryal@umb.no>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Problem with foreach in Stata 10.1
Date   Mon, 17 Nov 2008 23:29:15 +0100

Just a little note!! In BIC calculation, Stata assumes N=e(N). So, we need to use the command as follows:

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

regards,
Jeetendra Aryal
Research Fellow
Department of Economics and Resource Management
Norwegian University of Life Sciences


>-----Original Message-----
>From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>statalist@hsphsun2.harvard.edu] On Behalf Of Neil Shephard
>Sent: Monday, November 17, 2008 6:46 PM
>To: statalist@hsphsun2.harvard.edu
>Subject: Re: st: Problem with foreach in Stata 10.1
>
>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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