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RE: st: AW: RE: Seasonal Dummies and Autocorrelation


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: AW: RE: Seasonal Dummies and Autocorrelation
Date   Sat, 24 Jul 2010 15:17:45 +0200

<>


I did not advocate this strategy in
http://www.stata.com/statalist/archive/2010-07/msg01226.html, just wanted to
show the different error messages that would be returned under different
scenarios.


HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum
Sent: Samstag, 24. Juli 2010 15:05
To: statalist@hsphsun2.harvard.edu
Subject: re: st: AW: RE: Seasonal Dummies and Autocorrelation

<>
There is, btw, no need to store the mean in a variable (I believe Martin
suggested that). It is a number, so keep it in a local.

Note also that in the IMEUS example, the regression is run with a constant
term. In your original analysis, you included (I presume) seven day-of-week
dummies, but tested 6 of them. This makes no particular sense. If a full set
of dummies is included (and a constant term is omitted) the coefficients are
the conditional daily means. If you leave one out, they are the
_differences_ between the conditional mean and that of the excluded day. It
then makes sense to jointly test them vs. zero.

-----------------
use http://fmwww.bc.edu/ec-p/data/Mills2d/exchd.dta, clear
// assign arbitrary day numbers
g dow = mod(day,7)
tsset day
// regress exchd on lags and daily 'seasonal' factors
// include the constant, as the factor variable dow will leave out one level
reg exchd L(1/6).exchd i.dow
// test for significance of autoregressive effects
testparm L(1/6).exchd
// test for daily seasonality
testparm i.*
predict double exhat, residual
su exchd, mean
replace exhat = exhat + r(mean)
su
tsline exchd exhat
-------------------

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |
http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |
http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |
http://www.stata-press.com/books/imeus.html


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