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


From   Muhammad Anees <anees@aneconomist.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   Fri, 18 Nov 2011 12:02:16 +0500

As the -help dfuller- suggest -dfuller- only saves the following
Scalars in r() about which you would already be familiar:


      r(N)           number of observations
      r(lags)        number of lagged differences
      r(Zt)          Dickey-Fuller test statistic
      r(p)           MacKinnon approximate p-value (if there is a constant or
                       trend in associated regression)

In running the -reg- and -esttab- is of limited help in earlier
example. You need to seek help of the ado which results the
interpolated Dickey-Fuller t-statistic. I hope this shed some light on
what you need to do.

On Fri, Nov 18, 2011 at 10:52 AM, Yuval Arbel <yuval.arbel@gmail.com> wrote:
> I believe what I need is to construct a macro with -foreach- command
> and for each appt number to carry out the -dfuller- command.
> However, I don't know how exactly to construct such a macro. Can you assist me?
>
> On Thu, Nov 17, 2011 at 5:58 PM, Austin Nichols <austinnichols@gmail.com> wrote:
>> 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.
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
>
>
> --
> Dr. Yuval Arbel
> School of Business
> Carmel Academic Center
> 4 Shaar Palmer Street, Haifa, Israel
> e-mail: yuval.arbel@gmail.com
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 

Regards
---------------------------
Muhammad Anees
Assistant Professor
COMSATS Institute of Information Technology
Attock 43600, Pakistan
www.aneconomist.com

*
*   For searches and help try:
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