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From |
Christopher Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: problem with foreach in Stata 10.1 |

Date |
Tue, 18 Nov 2008 11:05:23 -0500 |

< >

http://ideas.repec.org/p/boc/asug07/7.html

webuse lutkepohl dfgls invest, maxlag(12) Kit Baum, Boston College Economics and DIW Berlin http://ideas.repec.org/e/pba1.html An Introduction to Modern Econometrics Using Stata: http://www.stata-press.com/books/imeus.html On Nov 18, 2008, at 2:33 AM, Brian wrote:

- -dfuller- is an r-class command, but prior to Stata 10 it had beenleavingbehind regression results in the e-class macros. In general, r-class commands should not affect any estimation results the user has lyingaround, so in Stata 10 we modified -dfuller- to back up and restoretheuser's prior estimation results. In Joao Ricardo's example using Stata 10.1, his -estat ic- results arealways showing the results for the first call to -dfuller-;presumably hedid not do any estimation before calling -dfuller-, since in that case- -dfuller- did not see any estimation results that it needed toback up andrestore. In fact, -dfuller- should not be saving e-class results inthatcase, either; we will address that in an ado-file update. Using -estat ic- in conjunction with -dfuller- to choose the optimal number of lags to include might at first blush seem like a good idea.However, looking at his results using Stata 9 reveal a problem: thesamplesize used in each case depends on the number of lags specified with- -dfuller-. When using an information criterion to select the lagorder,you should restrict the estimation sample to the subset ofobservationsthat can be used with the maximum number of lags you wish to consider.

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