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From |
Yuval Arbel <yuval.arbel@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: dfuller: why do I get different results? |

Date |
Fri, 18 Nov 2011 22:33:49 +0200 |

It took me two hours to run the -xtunit- command, but here is what I get: . xtunitroot fisher reduct_per,dfuller lag(1) could not compute test for panel 119 could not compute test for panel 125 could not compute test for panel 154 could not compute test for panel 782 could not compute test for panel 814 could not compute test for panel 1050 could not compute test for panel 2707 could not compute test for panel 3587 could not compute test for panel 3894 could not compute test for panel 4269 could not compute test for panel 7289 could not compute test for panel 8104 could not compute test for panel 9155 could not compute test for panel 9340 could not compute test for panel 9391 could not compute test for panel 9542 could not compute test for panel 9547 Fisher-type unit-root test for reduct_per Based on augmented Dickey-Fuller tests ----------------------------------------- Ho: All panels contain unit roots Number of panels = 9547 Ha: At least one panel is stationary Avg. number of periods = 53.19 AR parameter: Panel-specific Asymptotics: T -> Infinity Panel means: Included Time trend: Not included Drift term: Not included ADF regressions: 1 lag ------------------------------------------------------------------------------ Statistic p-value ------------------------------------------------------------------------------ Inverse chi-squared(19060)P 8814.2739 1.0000 Inverse normal Z 60.7097 1.0000 Inverse logit t(46659) L* 55.5908 1.0000 Modified inv. chi-squared Pm -52.4767 1.0000 ------------------------------------------------------------------------------ P statistic requires number of panels to be finite. Other statistics are suitable for finite or infinite number of panels. ------------------------------------------------------------------------------ . I'm happy with the results, because they show that tenants could not anticipate a long-run mean reduction rates. Many thanks again anyway Yuval On Fri, Nov 18, 2011 at 7:08 PM, Yuval Arbel <yuval.arbel@gmail.com> wrote: > Note that it did not work because these commands need balanced panel, > and I have unbalanced panel. > > I'm trying now the command: > > xtunitroot fisher reduct_per,dfuller lag(1) > > according to the help file: xtunitroot fisher does not require > strongly balanced data, and the individual series can have gaps. > > It takes stata a long time to run this command (I have 9547 panels) - > but it suppose to do exactly what I need: to run the dfuller on each > panel separately and construct average statistic. > > I let you know whether it worked eventually > > many thanks, > Yuval > > On Fri, Nov 18, 2011 at 6:50 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: >> Others may be able to give constructive comments. I note only that your -xtset- reveals that your data are gappy, which underlines why using [_n-1] to get previous values did not work for you. >> >> Nick >> n.j.cox@durham.ac.uk >> >> Yuval Arbel >> >> Nick, >> >> Note that I looked very carefully at the material Austin Nicols sent >> me. His implication was that I should run a unit root test on a panel >> dataset. I tried to run the following commands, but they did not seem >> to work: >> >> . xtset appt time_index >> panel variable: appt (unbalanced) >> time variable: time_index, 0 to 114, but with gaps >> delta: 1 unit >> >> . xtunitroot llc reduct_per >> Levin-Lin-Chiu test requires strongly balanced data >> r(498); >> >> . xtunitroot ht reduct_per >> Harris-Tzavalis test requires strongly balanced data >> r(498); >> >> . xtunitroot breitung reduct_per >> Breitung test requires strongly balanced data >> r(498); >> >> >> On Fri, Nov 18, 2011 at 3:08 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: >>> See my earlier answer on using -foreach- with an FAQ as reference. I don't know if it will work, in the sense of doing what you want. >>> >>> By the way, I have a horrible feeling that you are in econometric peril here in some sense, and I am not endorsing your choices. >>> >>> You've already chosen to ignore the advice of Austin Nichols. If I were doing econometrics, I would want a very good reason to ignore Austin Nichols. >>> >> >> * >> * 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 > -- 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/

**References**:**st: dfuller: why do I get different results?***From:*Yuval Arbel <yuval.arbel@gmail.com>

**st: RE: dfuller: why do I get different results?***From:*Nick Cox <n.j.cox@durham.ac.uk>

**Re: st: RE: dfuller: why do I get different results?***From:*Yuval Arbel <yuval.arbel@gmail.com>

**RE: st: RE: dfuller: why do I get different results?***From:*Nick Cox <n.j.cox@durham.ac.uk>

**Re: st: RE: dfuller: why do I get different results?***From:*Yuval Arbel <yuval.arbel@gmail.com>

**RE: st: RE: dfuller: why do I get different results?***From:*Nick Cox <n.j.cox@durham.ac.uk>

**Re: st: RE: dfuller: why do I get different results?***From:*Yuval Arbel <yuval.arbel@gmail.com>

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