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Re: st: lag length selection in unbalanced panel


From   spyridoula dimou <speniadimou@yahoo.gr>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: lag length selection in unbalanced panel
Date   Wed, 28 Sep 2011 08:52:50 +0100 (BST)

Hello! Thanks for the quick response!

My panel is unbalanced. It consists of 30 countries with data from 1990 to 2007 (541 observations). I want to employ the -xtfisher- command as this seems to be appropriate in my case. I need to check for stationarity in order to decide whether a cointegration test could be done. My panel apart from the country (country) and time (years) variables consists of other 3 variables, total health spending (y), number of nurses (n) and number of doctors (d). According to the proposed
routine by http://www.stata.com/statalist/archive/2005-02/msg00264.html I wrote the following (for my first variable y):

levels country, local(levels)
foreach l of local levels {
	varsoc y if country == `l'
	matrix A = r(stats)
	if `l' > 1 {
		matrix C = C \ A
	}
	else {
		matrix C = A
	}
}
svmat C, name(col)
keep if HQ < .

egen id = fill(1 1 1 1 1 2 2 2 2 2)

egen minh = min(H), by(id)
gen optimal_lag = lag if minh == HQ

sort id opt
forv i = 1(5)115 {
	local lag = opt[`i']
	local opt_lag "`opt_lag' `" "' `lag'"
}

restore
}
xtfisher y, lag(`opt_lag')

and stata displays 
option lag() incorrectly specified

I hope this helps you!
Thanks again!!!

 --- Στις Τρίτ., 27/09/11, ο/η Nick Cox <njcoxstata@gmail.com> έγραψε:

> Από: Nick Cox <njcoxstata@gmail.com>
> Θέμα: Re: st: lag length selection in unbalanced panel
> Προς: statalist@hsphsun2.harvard.edu
> Ημερομηνία: Τρίτη, 27 Σεπτέμβριος 2011, 22:38
> Impossible to say on this evidence.
> We need to see all your code. We
> may need to know more about your data.
> 
> Nick
> 
> 2011/9/27 spyridoula dimou <speniadimou@yahoo.gr>:
> 
> > I am using an unbalanced panel, for which I want to
> perform the Fisher stationarity test. Therefore, I have to
> choose the appropriate number of lags to include. As the
> varsoc command does not work in panel data, I have tried to
> derive the optimal number of lags using the HQIC as proposed
> by http://www.stata.com/statalist/archive/2005-02/msg00264.html.
> > When coming to perform my test, I copy the procedure
> proposed, changing the variable names and write
> > xtfisher y, lag(`opt_lag').
> > Then stata displays:
> > option lag() incorrectly specified
> > What is the mistake I make? When running the procedure
> using the
> > http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta
> > everything works fine...
> 
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