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From |
Scott Merryman <scott.merryman@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 20 Nov 2009 14:57:32 -0600 |

On Thu, Nov 19, 2009 at 2:44 PM, <sjq2102@columbia.edu> wrote: > 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. > Below is an example you can adapt -- and it's Scott not John. Scott cd "C:/Documents and Settings/Scott_2/Desktop/trash" sysuse auto,clear gen t = _n tsset t tempname memhold tempname memhold2 postfile `memhold' str12 var double t using t_score, replace postfile `memhold2' str12 var2 double df_pvalue using df_pvalue, replace foreach var of varlist mpg-gear { qui reg price `var' matrix e =e(b) matrix v = e(V) local t = abs(e[1,1]/sqrt(v[1,1])) if `t' < 1.7 { drop `var' } else { local mylist "`mylist' `var' " post `memhold' ("`var'") (`t') } } postclose `memhold' foreach l of local mylist { qui dfuller `l', lag(1) if r(p) > .01 { drop `l' } else { local mylist2 "`mylist2' `l' " post `memhold2' ("`l'") (r(p)) } } postclose `memhold2' keep `mylist2' corr `mylist2' save corr_var_list,replace use t_score,clear l use df_pvalue,clear l * * 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/

**References**:**st: do file: sort by t, then give dfuller p-value, then corr?***From:*sjq2102@columbia.edu

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