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From |
Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Appropriate lags for Augmented Dickey-Fuller Test |

Date |
Thu, 27 Aug 2009 16:11:54 +0100 |

Thanks again for your reply. I think I will use the dfuller, lags(#) command as I think that is sufficient for the test I am lookinf to do Just one question though. I was made aware that I dont need to include a lags(#) term for the Phillips-Perron test does not need the lagged values. Is this correct? Thank you Regards Ihtesham ---------------------------------------- > Date: Thu, 27 Aug 2009 13:58:57 +0100 > Subject: Re: st: Appropriate lags for Augmented Dickey-Fuller Test > From: tirthankar.chakravarty@gmail.com > To: statalist@hsphsun2.harvard.edu > > Not really. -dfuller- provides what are called parametric augmented > Dickey-Fuller (ADF) tests, which require explicit specification of the > (linear) trend component. -dfgls- belongs to a class of efficient ADF > unit root tests, which involve running the ADF tests on > quasi-differenced series (wherby a trend is extracted by GLS > detrending) - leading, typically, to greater power properties. > > In either case, -dfuller- does not include a trend by default and > -dfgls- does. So as you are using them, they are not comparable. For > quick diagnostics on unit roots, I prefer -dfgls-. > > I can point you to the excellent exposition in Phillips and Xiao > (1998) & [TS] dfgls. > > --- References --- > @article{phillips1998primer, > title={{A Primer on Unit Root Testing}}, > author={Phillips, P.C.B. and Xiao, Z.}, > journal={Journal of Economic Surveys}, > volume={12}, > number={5}, > pages={423--470}, > year={1998}, > publisher={Blackwell Publishers Ltd} > } > > > > 2009/8/27 Ihtesham Afzal : >> Hello, first of all, thanks for the reply. >> Here is the output. From this can I infer that the lags i should use is 14 (if I use the MAIC)and thus conduct the ADF test with 14 lags as I have done below? >> Is this the correct procedure. >> Kinds Regards. >> Ihtesham >> >> >> . dfgls lCPI >> >> DF-GLS for lCPI Number of obs = 284 >> Maxlag = 15 chosen by Schwert criterion >> >> DF-GLS tau 1% Critical 5% Critical 10% Critical >> [lags] Test Statistic Value Value Value >> ------------------------------------------------------------------------------ >> 15 -0.614 -3.480 -2.815 -2.535 >> 14 -0.659 -3.480 -2.823 -2.542 >> 13 -0.787 -3.480 -2.830 -2.549 >> 12 -1.235 -3.480 -2.838 -2.555 >> 11 -0.351 -3.480 -2.845 -2.562 >> 10 -0.285 -3.480 -2.851 -2.568 >> 9 -0.223 -3.480 -2.858 -2.574 >> 8 -0.327 -3.480 -2.865 -2.580 >> 7 -0.381 -3.480 -2.871 -2.586 >> 6 -0.457 -3.480 -2.877 -2.591 >> 5 -0.254 -3.480 -2.883 -2.596 >> 4 -0.164 -3.480 -2.888 -2.601 >> 3 -0.084 -3.480 -2.894 -2.606 >> 2 -0.233 -3.480 -2.899 -2.611 >> 1 -0.206 -3.480 -2.903 -2.615 >> >> Opt Lag (Ng-Perron seq t) = 13 with RMSE .0030169 >> Min SC = -11.32856 at lag 13 with RMSE .0030169 >> Min MAIC = -11.51094 at lag 14 with RMSE .003008 >> >> >> . dfuller lCPI, lags(14) >> Augmented Dickey-Fuller test for unit root Number of obs = 285 >> ---------- Interpolated Dickey-Fuller --------- >> Test 1% Critical 5% Critical 10% Critical >> Statistic Value Value Value >> ------------------------------------------------------------------------------ >> Z(t) -1.980 -3.457 -2.879 -2.570 >> ------------------------------------------------------------------------------ >> MacKinnon approximate p-value for Z(t) = 0.2955 >> >> >> ---------------------------------------- >>> Date: Thu, 27 Aug 2009 12:59:34 +0100 >>> Subject: Re: st: Appropriate lags for Augmented Dickey-Fuller Test >>> From: tirthankar.chakravarty@gmail.com >>> To: statalist@hsphsun2.harvard.edu >>> >>> <> >>> -dfgls- reports three different criteria for lag selection: >>> >>> 1) Ng-Perron >>> 2) Schwarz >>> 3) Modified AIC >>> >>> and reports tests upto a max. lag determined by the Schwert criteria. >>> >>> T >>> >>> On Thu, Aug 27, 2009 at 12:39 PM, Ihtesham >>> Afzal wrote: >>>> Hello. >>>> Just a quick question. >>>> When undergoing the Augmented Dickey Fuller Test, how do I decide on how many lags to include for each series? >>>> Do I estimate the AR(p) model with different p-lag values and then find the one with the lowest AIC/BIC value? >>>> >>>> Kind Regards. >>>> >>>> Ihtesham >>>> _________________________________________________________________ >>>> >>>> Upgrade to Internet Explorer 8 Optimised for MSN. >>>> >>>> http://extras.uk.msn.com/internet-explorer-8/?ocid=T010MSN07A0716U >>>> * >>>> * For searches and help try: >>>> * http://www.stata.com/help.cgi?search >>>> * http://www.stata.com/support/statalist/faq >>>> * http://www.ats.ucla.edu/stat/stata/ >>>> >>> >>> >>> >>> -- >>> To every ω-consistent recursive class κ of formulae there correspond >>> recursive class signs r, such that neither v Gen r nor Neg(v Gen r) >>> belongs to Flg(κ) (where v is the free variable of r). >>> >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/statalist/faq >>> * http://www.ats.ucla.edu/stat/stata/ >> _________________________________________________________________ >> Celebrate a decade of Messenger with free winks, emoticons, display pics, and more. >> http://clk.atdmt.com/UKM/go/157562755/direct/01/ >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > > > -- > To every ω-consistent recursive class κ of formulae there correspond > recursive class signs r, such that neither v Gen r nor Neg(v Gen r) > belongs to Flg(κ) (where v is the free variable of r). > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ _________________________________________________________________ Windows Live Messenger: Happy 10-Year Anniversary-get free winks and emoticons. http://clk.atdmt.com/UKM/go/157562755/direct/01/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Appropriate lags for Augmented Dickey-Fuller Test***From:*"Joao Ricardo F. Lima" <jricardofl@gmail.com>

**Re: st: Appropriate lags for Augmented Dickey-Fuller Test***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

**References**:**st: Appropriate lags for Augmented Dickey-Fuller Test***From:*Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>

**Re: st: Appropriate lags for Augmented Dickey-Fuller Test***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

**RE: st: Appropriate lags for Augmented Dickey-Fuller Test***From:*Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>

**Re: st: Appropriate lags for Augmented Dickey-Fuller Test***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

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