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st: AW: Storing test statistics from dfuller output


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Storing test statistics from dfuller output
Date   Sun, 4 Jul 2010 21:17:39 +0200

<> 

You can have -statsby- record the results for you:

*************

webuse air2, clear
gen byte myranges=irecode(time, 1948, 1953, 1957, 1961)

statsby r(Zt), by(myranges) clear : dfuller air, lags(3)
l

*check results
webuse air2, clear
gen byte myranges=irecode(time, 1948, 1953, 1957, 1961)
forv i=1/3{
dfuller air, lags(3), if myranges== `i'
}
*************


See NJC`s http://www.stata-journal.com/article.html?article=gr0045



HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Dani Tilley
Gesendet: Sonntag, 4. Juli 2010 19:33
An: statalist@hsphsun2.harvard.edu
Betreff: st: Storing test statistics from dfuller output

Hi,

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.

Thanks,
DF Tilley


      
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