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st: Storing test statistics from dfuller output

From   Dani Tilley <>
Subject   st: Storing test statistics from dfuller output
Date   Sun, 4 Jul 2010 10:33:11 -0700 (PDT)


I need to run -dfuller- tests on several countries and collect the test statistic from each, store it, and compute its mean (or possibly divide by a scalar). I tried the following but didn't get what I was looking for. 

quietly levelsof(country)
gen pm=.
foreach a in `r(levels)' { 
quietly dfuller cpi if country==`a', lags(3)
replace pm = r(Zt) if country==`a'

Any help would be appreciated.

DF Tilley

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