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Re: st: RE: dfuller: why do I get different results?
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: st: RE: dfuller: why do I get different results?
Date
Fri, 18 Nov 2011 14:56:08 +0200
Nick,
Your answer brings me to my second question:
I am trying to run:
bysort appt: dfuller reduct_per,noconstant regress
but I'm getting the message:
dfuller may not be combined with by
I also tried to use -statsby- but it doesn't work either:
Is there another way to run dfuller by apartments?
On Fri, Nov 18, 2011 at 1:37 PM, Nick Cox <[email protected]> wrote:
> bysort appt: gen reduct1=reduct_per[_n-1]
>
> and
>
> gen reduct1 = L1.reduct
>
> give identical results only under certain conditions. One is that sorting by -appt- does _not_ itself guarantee that values for each -appt- are sorted in time order. There can be other problems with omitted observations, etc.
>
> Use time-series operators after -tsset- to generate lagged variables.
>
> Nick
> [email protected]
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Yuval Arbel
> Sent: 18 November 2011 11:30
> To: statalist
> Subject: st: dfuller: why do I get different results?
>
> Dear Statalist Participants,
>
> when I run:
>
> . dfuller reduct_per if appt==2862,noconstant regress
>
> I get the following outcome:
>
> 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) -6.026 -2.641 -1.950 -1.605
>
> ------------------------------------------------------------------------------
> D.reduct_per | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> reduct_per |
> L1. | -.5409015 .0897625 -6.03 0.000 -.7229484 -.3588546
> ------------------------------------------------------------------------------
>
> Those outcomes imply that the calculated statistic for the unit-root
> test is -6.03
>
> But when I define:
>
> bysort appt: gen reduct1=reduct_per[_n-1]
> bysort appt: gen dreduct1=reduct_per-reduct_per[_n-1]
>
> and I run:
>
>
> regress dreduct1 reduct1 if appt==2862,noconst
>
> I get:
>
> . regress dreduct1 reduct1 if appt==2862,noconst
>
> Source | SS df MS Number of obs = 36
> -------------+------------------------------ F( 1, 35) = 0.00
> Model | 0 1 0 Prob > F = 1.0000
> Residual | 625 35 17.8571429 R-squared = 0.0000
> -------------+------------------------------ Adj R-squared = -0.0286
> Total | 625 36 17.3611111 Root MSE = 4.2258
>
> ------------------------------------------------------------------------------
> dreduct1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> reduct1 | 0 .0509647 0.00 1.000 -.1034639 .1034639
> ------------------------------------------------------------------------------
>
> .
> Shouldn't I get exactly the same outcomes in both regressions?
>
>
> *
> * 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/