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Re: st: re: madfuller problem


From   spyridoula dimou <speniadimou@yahoo.gr>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: madfuller problem
Date   Wed, 20 Oct 2010 15:00:15 +0100 (BST)

As being new in stata, this is my output from the MADF test:


Multivariate Augmented Dickey-Fuller test for lgdp
with 18 observations on 10 cross-sectional units
-----------------------------------------------------------
       Obs    Lags        MADF      Approx 5% CV
-----------------------------------------------------------
        17       1     177.132         49.619
-----------------------------------------------------------
H0: all 10 timeseries in the panel are I(1) processes

This implies, that as the MADF value exceeds the 5% CV, the Ho hypothesis is regected for the variable under consideratio. I hope this is right. Could you verify it, please?



--- Στις Τετ., 20/10/10, ο/η Christopher Baum <kit.baum@bc.edu> έγραψε:

> Από: Christopher Baum <kit.baum@bc.edu>
> Θέμα: st: re: madfuller problem
> Προς: statalist@hsphsun2.harvard.edu
> Ημερομηνία: Τετάρτη, 20 Οκτώβριος 2010, 16:24
> <>
> > This is my output:
> > . madfuller lthe,lags(1)
> > Number of gaps in sample:  1
> > sample may not contain gaps
> > invalid syntax
> > lthe is the variable i should check for stationarity.
> What
> > goes wrong?
> 
> tsreport, panel list
> 
> Kit
> 
> 
> 
> Kit Baum   |   Boston College
> Economics & DIW
> Berlin   |   http://ideas.repec.org/e/pba1.html
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> 
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