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Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?
From
Austin Nichols <[email protected]>
To
[email protected]
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 <[email protected]>:
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 <[email protected]> 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 <[email protected]> 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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