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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 19:26:21 +0100 |

Thank you again. If I do decide to go with the -dfgls- command, could you please help me interpret the results? i.e. is the time-series stationary? . 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 Kind Regards Ihtesham ---------------------------------------- > Date: Thu, 27 Aug 2009 16:31:36 +0100 > Subject: Re: st: Appropriate lags for Augmented Dickey-Fuller Test > From: tirthankar.chakravarty@gmail.com > To: statalist@hsphsun2.harvard.edu > > -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 : >> >> 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/ _________________________________________________________________ Windows Live Messenger: Thanks for 10 great years-enjoy 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>

**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>

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

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