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Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?
Date   Thu, 17 Nov 2011 10:58:53 -0500

Yuval Arbel <yuval.arbel@gmail.com>:
I doubt you really want -dfuller- output.  You should read at minimum:
http://www.econ.cam.ac.uk/faculty/pesaran/lm.pdf
http://www.econ.cam.ac.uk/faculty/pesaran/wp11/Interpretation-Panel-Unit-September-2011.pdf
and see especially the lit review in the second for recent work.

On Thu, Nov 17, 2011 at 10:05 AM, Muhammad Anees <anees@aneconomist.com> wrote:
> -Dfuller- runs regression where the Z(t) is the coefficient of the
> estimated lagged Dep.Var with D.(Dep.Var) as the dependent variable.
> Using the estout option after the regress command could do what you
> want.
>
> example is give from my results
>  energyusekt |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>  energyusekt |
>         L1. |   .0349052   .0078295     4.46   0.000      .018976    .0508345
>             |
>       _cons |   384.8409   365.0711     1.05   0.299    -357.9018    1127.584
> ------------------------------------------------------------------------------
>
> . estimates store a
>
> . esttab
>
> ----------------------------
>                      (1)
>             D.energyus~t
> ----------------------------
> L.energyus~t       0.0349***
>                   (4.46)
>
> _cons               384.8
>                   (1.05)
> ----------------------------
> N                      35
> ----------------------------
> t statistics in parentheses
>
> Now using other Stata tools, it can easily be exported.
> regress d.energyusekt l.energyusekt
> On Thu, Nov 17, 2011 at 7:49 PM, Yuval Arbel <yuval.arbel@gmail.com> wrote:
>> Dear statalist participants,
>>
>> I have an unbalanced panel of apartments, which contains 9,547 apartments.
>>
>> I ran the following commands:
>>
>> . tsset t
>>        time variable:  t, 1 to 507798
>>                delta:  1 unit
>>
>> . dfuller reduct_per if appt==2851
>>
>> Dickey-Fuller test for unit root                   Number of obs   =        27
>>
>>                               ---------- Interpolated Dickey-Fuller ---------
>>                  Test         1% Critical       5% Critical      10% Critical
>>               Statistic           Value             Value             Value
>> ------------------------------------------------------------------------------
>>  Z(t)             -0.891            -3.736            -2.994            -2.628
>> ------------------------------------------------------------------------------
>> MacKinnon approximate p-value for Z(t) = 0.7910
>>
>> . dfuller reduct_per if appt==2862
>>
>> Dickey-Fuller test for unit root                   Number of obs   =        37
>>
>>                               ---------- Interpolated Dickey-Fuller ---------
>>                  Test         1% Critical       5% Critical      10% Critical
>>               Statistic           Value             Value             Value
>> ------------------------------------------------------------------------------
>>  Z(t)             -6.784            -3.668            -2.966            -2.616
>> ------------------------------------------------------------------------------
>> MacKinnon approximate p-value for Z(t) = 0.0000
>>
>> . dfuller reduct_per if appt==2906
>>
>> Dickey-Fuller test for unit root                   Number of obs   =        94
>>
>>                               ---------- Interpolated Dickey-Fuller ---------
>>                  Test         1% Critical       5% Critical      10% Critical
>>               Statistic           Value             Value             Value
>> ------------------------------------------------------------------------------
>>  Z(t)             -1.313            -3.518            -2.895            -2.582
>> ------------------------------------------------------------------------------
>> MacKinnon approximate p-value for Z(t) = 0.6233
>>
>> . dfuller reduct_per if appt==2907
>>
>> Dickey-Fuller test for unit root                   Number of obs   =       103
>>
>>                               ---------- Interpolated Dickey-Fuller ---------
>>                  Test         1% Critical       5% Critical      10% Critical
>>               Statistic           Value             Value             Value
>> ------------------------------------------------------------------------------
>>  Z(t)             -2.647            -3.509            -2.890            -2.580
>> ------------------------------------------------------------------------------
>> MacKinnon approximate p-value for Z(t) = 0.0836
>>
>> Now, I would like to produce a table where for each apartment I attach
>> the full output of dfuller
>>
>> I wonder, how can I produce such a table in a way that it can be
>> exported in xls. or csv. formats:
>>
>> I thank you in advance for your assistance.

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