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AW: st: Appropriate lags for Augmented Dickey-Fuller Test


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: Appropriate lags for Augmented Dickey-Fuller Test
Date   Thu, 27 Aug 2009 18:47:03 +0200

<>

"-. You can see Baum' paper
at Stata Journal 2001 v1n1 - "Stata: the language of choice for time
series analysis?""


Did you mean SJ 5(1)? http://www.stata-journal.com/sjpdf.html?articlenum=st0080



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Joao Ricardo F. Lima
Gesendet: Donnerstag, 27. August 2009 18:38
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: Appropriate lags for Augmented Dickey-Fuller Test

Ihtesham said,

"I think I will use the dfuller, lags(#) command as I think that is
sufficient for the test I am lookinf to do"...

OK, its your choice! However, the -dfgls- is preferred to the "first
generation" tests of -dfuller- or -pperron-. You can see Baum' paper
at Stata Journal 2001 v1n1 - "Stata: the language of choice for time
series analysis?"

See too - http://www.stata.com/statalist/archive/2007-10/msg00097.html
and the threads related.

HTH,

Joao Lima



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
>>>>> _________________________________________________________________
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>>>>>
>>>>
>>>>
>>>>
>>>> --
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>>
>>
>>
>> --
>> 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).
>>
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-- 
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +5538387264913
Skype: joao_ricardo_lima
----------------------------------------

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