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From |
Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 27 Aug 2009 16:31:36 +0100 |

-pperron- does not use lags to correct for serial correlation in the Dickey-Fuller regressions and instead uses a Newey-West type robust variance-covariance matrix to calulate the standard errors. However, please see [TS] pperron documentation for cases when the Phillips-Perron test is not applicable. If you are going to use -dfuller-, you might look at -varsoc- for lag-length selection. You also do not specify a trend or drift terms in your -dfuller-. You need to be sure that this is indeed the case, a very good preliminary strategy is to visualise the data to see if there is a deterministic trend in it. T 2009/8/27 Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>: > > 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/ > -- 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/

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

**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>

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

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