st: do file: sort by t, then give dfuller p-value, then corr?

[sjq2102@columbia.edu]

Hello,

I am looking to create a do file that will perform a good bit of
analysis at the bivariate level.  Thanks to the code prepared by John  
Merryman and guidance from Nick Cox, I was able to achieve the first  
part of this task (sorting by t-score) (see code prepared by Mr.  
Merryman below).

Now, I would like to perform the same task, but drop all variables  
with a t-score below 1.70.  I would then like to take this subset of  
data and perform a dfuller test, with an output being the p-value,  
filter out those with a p-value greater than 1% and finally perform a  
correlation matrix on the remaining variables.

Is this at all possible?  Ideally, the output would keep the t-score,  
dfuller, and corr matrix, however, if the output was simply the corr  
matrix, having filtered for a t-score greater than 1.7, a dfuller  
pvalue of 1% or less, that would suffice as well.

Thank you for your consideration.
Steven

sysuse auto
tempname memhold
tempfile results
postfile `memhold' str12 name double t using `results', replace
foreach var  of varlist head-gear {
local name  "`var'"
         qui reg mpg `var'
         matrix e =e(b)
         matrix v = e(V)
         local t = abs(e[1,1]/sqrt(v[1,1]))
         post `memhold' ("`name'") (`t')
}
postclose `memhold'
use `results'
gsort -t
l


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