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


From   sjq2102@columbia.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: do file: sort by t, then give dfuller p-value, then corr?
Date   Thu, 19 Nov 2009 15:44:12 -0500

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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