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