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Re: st: how to obtain demeaned data and detrended data in Stata


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: how to obtain demeaned data and detrended data in Stata
Date   Thu, 20 Oct 2011 08:33:25 -0400

<>
On Oct 20, 2011, at 2:33 AM, amatoallah wrote:

> I would like to run KSS test (KAPETANIOS, G. ˆ SHIN, Y. ˆ SNELL, A.
> 2003: Testing for a UnitRoot in the Nonlinear STAR Framework) , but i
> don't  know how to obtain demeaned data and detrended data .Could  you
> describe me the process in STATA?

Note per the Statalist FAQ that Stata (unlike SAS, SPSS, MATLAB, RATS) is not an acronym. It is Stata.

The residuals from a regression of x on a constant and time trend are demeaned (mean of zero) and (linearly) detrended:

gen t = _n
reg x t
predict double eps, resid

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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